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

CBOE Russell 2000 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	1.1840	0.82
αARCH	0.1784	0.14
βGARCH	0.8216	0.67

γ₁	-0.2912	-0.65
γ₂	0.3858	0.62
γ₃	-0.0526	-0.22
γ₄	-0.2401	-2.42**
γ₅	0.5889	5.25***
γ₆	-0.6782	-3.72***
γ₇	0.0963	0.78
γ₈	0.4785	2.45**
γ₉	-0.3472	-1.66*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1840	0.82
α ARCH Response to squared shocks	0.1784	0.14
β GARCH Volatility persistence	0.8216	0.67

γ₁	-0.2912	-0.65
γ₂	0.3858	0.62
γ₃	-0.0526	-0.22
γ₄	-0.2401	-2.42**
γ₅	0.5889	5.25***
γ₆	-0.6782	-3.72***
γ₇	0.0963	0.78
γ₈	0.4785	2.45**
γ₉	-0.3472	-1.66*

V-Lab

3M US Treasury CMT 3 Month Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 3M US Treasury CMT 3 Month Analyses