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

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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	0.0029	1.23
αARCH	0.0204	4.25***
βGARCH	0.9625	256.94***
γleverage	0.0321	2.27**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0029	1.23
α ARCH Response to squared shocks	0.0204	4.25***
β GARCH Volatility persistence	0.9625	256.94***
γ leverage Additional response to negative shocks	0.0321	2.27**

V-Lab

30Y US Treasury CMT 30 Year GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 30Y US Treasury CMT 30 Year Analyses