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

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CBOE DJIA Volatility Index

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How volatility evolves over time

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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
mwindow	126
αARCH	0.0182	4.97***
βGARCH	0.9639	232.10***
γleverage	0.0345	4.80***
λ₁tau intercept	0.0015	0.32
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.9998	184.77***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0182	4.97***
β GARCH Volatility persistence	0.9639	232.10***
γ leverage Additional response to negative shocks	0.0345	4.80***
λ₁ tau intercept Baseline long-term coefficient	0.0015	0.32
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9998	184.77***

V-Lab

20Y US Treasury CMT 20 Year MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 20Y US Treasury CMT 20 Year Analyses