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

CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

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
ωconst	2.7258	2.24**
αARCH	0.0473	15.19***
βGARCH	0.9977	890.02***
νDF	7.1657	3.76***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.7258	2.24**
α ARCH Response to squared shocks	0.0473	15.19***
β GARCH Volatility persistence	0.9977	890.02***
ν DF Student-t tail thickness	7.1657	3.76***

V-Lab

5Y US Treasury CMT 5 Year GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 5Y US Treasury CMT 5 Year Analyses