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

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ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index

CBOE Volatility Index

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CBOE DJIA 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	1.2293	2.24**
αARCH	0.0918	9.15***
βGARCH	0.9077	90.08***

γ₁	-0.0621	-1.74*
γ₂	0.0623	1.15
γ₃	0.1121	2.99***
γ₄	-0.2594	-7.70***
γ₅	0.2077	6.86***
γ₆	-0.0634	-2.69***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2293	2.24**
α ARCH Response to squared shocks	0.0918	9.15***
β GARCH Volatility persistence	0.9077	90.08***

γ₁	-0.0621	-1.74*
γ₂	0.0623	1.15
γ₃	0.1121	2.99***
γ₄	-0.2594	-7.70***
γ₅	0.2077	6.86***
γ₆	-0.0634	-2.69***

V-Lab

1Y US Treasury CMT 1 Year Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 1Y US Treasury CMT 1 Year Analyses