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

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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
mwindow	21
αARCH	0.0524	3.81***
βGARCH	0.7140	31.15***
γleverage	0.2253	6.88***
λ₁tau intercept	0.0083	2.50**
λ₂forecast adj.	0.0786	9.21***
λ₃tau persistence	0.9214	105.34***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0524	3.81***
β GARCH Volatility persistence	0.7140	31.15***
γ leverage Additional response to negative shocks	0.2253	6.88***
λ₁ tau intercept Baseline long-term coefficient	0.0083	2.50**
λ₂ forecast adj. Forecast performance sensitivity	0.0786	9.21***
λ₃ tau persistence Long-term factor persistence	0.9214	105.34***

V-Lab

6M US Treasury CMT 6 Month MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 6M US Treasury CMT 6 Month Analyses