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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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	61
αARCH	0.0000	0.00
βGARCH	0.7451	21.29***
γleverage	0.5000	8.21***
λ₁tau intercept	0.0184	0.64
λ₂forecast adj.	0.0332	1.34
λ₃tau persistence	0.9468	19.45***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.7451	21.29***
γ leverage Additional response to negative shocks	0.5000	8.21***
λ₁ tau intercept Baseline long-term coefficient	0.0184	0.64
λ₂ forecast adj. Forecast performance sensitivity	0.0332	1.34
λ₃ tau persistence Long-term factor persistence	0.9468	19.45***

V-Lab

Janus Henderson B-BBB CLO ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Janus Henderson B-BBB CLO ETF Analyses