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

How illiquidity evolves over time

{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
mwindow	86
αARCH	0.0086	1.50
βGARCH	0.9280	92.35***
γleverage	0.0633	5.98***
λ₁tau intercept	0.1193	2.87***
λ₂forecast adj.	0.9838	35.18***
λ₃tau persistence	0.0146	2.58***

Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.0086	1.50
β GARCH Volatility persistence	0.9280	92.35***
γ leverage Additional response to negative shocks	0.0633	5.98***
λ₁ tau intercept Baseline long-term coefficient	0.1193	2.87***
λ₂ forecast adj. Forecast performance sensitivity	0.9838	35.18***
λ₃ tau persistence Long-term factor persistence	0.0146	2.58***

V-Lab

3Y US Treasury CMT 3 Year MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 3Y US Treasury CMT 3 Year Analyses