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

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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	96
αARCH	0.0162	3.28***
βGARCH	0.9501	161.61***
γleverage	0.0357	4.47***
λ₁tau intercept	0.0910	2.40**
λ₂forecast adj.	0.9908	39.80***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.0162	3.28***
β GARCH Volatility persistence	0.9501	161.61***
γ leverage Additional response to negative shocks	0.0357	4.47***
λ₁ tau intercept Baseline long-term coefficient	0.0910	2.40**
λ₂ forecast adj. Forecast performance sensitivity	0.9908	39.80***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

7Y US Treasury CMT 7 Year MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 7Y US Treasury CMT 7 Year Analyses