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

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.6455	1.61
αARCH	0.1363	11.44***
βGARCH	0.8631	72.48***

γ₁	-0.2063	-1.35
γ₂	0.1983	0.92
γ₃	0.1848	1.49
γ₄	-0.4373	-3.70***
γ₅	0.5976	6.15***
γ₆	-0.5489	-3.92***
γ₇	0.1563	0.82
γ₈	-0.0051	-0.03
γ₉	0.2480	1.32
γ₁₀	-0.2468	-1.74*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6455	1.61
α ARCH Response to squared shocks	0.1363	11.44***
β GARCH Volatility persistence	0.8631	72.48***

γ₁	-0.2063	-1.35
γ₂	0.1983	0.92
γ₃	0.1848	1.49
γ₄	-0.4373	-3.70***
γ₅	0.5976	6.15***
γ₆	-0.5489	-3.92***
γ₇	0.1563	0.82
γ₈	-0.0051	-0.03
γ₉	0.2480	1.32
γ₁₀	-0.2468	-1.74*

V-Lab

6M US Treasury CMT 6 Month Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 6M US Treasury CMT 6 Month Analyses