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

ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index

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	1.1332	3.44***
αARCH	0.1768	1.72*
βGARCH	0.8232	8.01***

γ₁	-0.1787	-4.37***
γ₂	0.3160	4.80***
γ₃	-0.2953	-5.88***
γ₄	0.4270	9.08***
γ₅	-0.5921	-14.95***
γ₆	0.4481	14.23***
γ₇	-0.1080	-4.56***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1332	3.44***
α ARCH Response to squared shocks	0.1768	1.72*
β GARCH Volatility persistence	0.8232	8.01***

γ₁	-0.1787	-4.37***
γ₂	0.3160	4.80***
γ₃	-0.2953	-5.88***
γ₄	0.4270	9.08***
γ₅	-0.5921	-14.95***
γ₆	0.4481	14.23***
γ₇	-0.1080	-4.56***

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