ICE BofAML U.S. Bond Market Option Volatility Estimate 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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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	46
αARCH	0.0052	1.42
βGARCH	0.9791	261.64***
γleverage	0.0306	5.50***
λ₁tau intercept	1.3739	1.28
λ₂forecast adj.	0.4374	1.35
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0052	1.42
β GARCH Volatility persistence	0.9791	261.64***
γ leverage Additional response to negative shocks	0.0306	5.50***
λ₁ tau intercept Baseline long-term coefficient	1.3739	1.28
λ₂ forecast adj. Forecast performance sensitivity	0.4374	1.35
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

30Y US Treasury CMT 30 Year MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 30Y US Treasury CMT 30 Year Analyses