ICE BofAML U.S. Bond Market Option Volatility Estimate Index

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CBOE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	2.0074	1.45
αARCH	0.1457	8.99***
βGARCH	0.8530	54.41***

γ₁	0.4690	0.58
γ₂	0.7842	0.65
γ₃	-2.3564	-2.64***
γ₄	1.4501	2.35**
γ₅	-0.7158	-2.11**
γ₆	0.2221	0.86
γ₇	0.3597	1.68*
γ₈	0.0429	0.18
γ₉	-0.3870	-1.69*

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0074	1.45
α ARCH Response to squared shocks	0.1457	8.99***
β GARCH Volatility persistence	0.8530	54.41***

γ₁	0.4690	0.58
γ₂	0.7842	0.65
γ₃	-2.3564	-2.64***
γ₄	1.4501	2.35**
γ₅	-0.7158	-2.11**
γ₆	0.2221	0.86
γ₇	0.3597	1.68*
γ₈	0.0429	0.18
γ₉	-0.3870	-1.69*

V-Lab

1M US Treasury CMT 1 Month Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 1M US Treasury CMT 1 Month Analyses