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

CBOE S&P 500 9-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
mwindow	86
αARCH	0.0137	2.54**
βGARCH	0.9387	99.19***
γleverage	0.0453	5.02***
λ₁tau intercept	0.0658	2.50**
λ₂forecast adj.	0.5974	12.82***
λ₃tau persistence	0.3984	9.13***

Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.0137	2.54**
β GARCH Volatility persistence	0.9387	99.19***
γ leverage Additional response to negative shocks	0.0453	5.02***
λ₁ tau intercept Baseline long-term coefficient	0.0658	2.50**
λ₂ forecast adj. Forecast performance sensitivity	0.5974	12.82***
λ₃ tau persistence Long-term factor persistence	0.3984	9.13***

V-Lab

5Y US Treasury CMT 5 Year MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 5Y US Treasury CMT 5 Year Analyses