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

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CBOE Volatility 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
mwindow	61
αARCH	0.0000	0.00
βGARCH	0.7442	20.96***
γleverage	0.5000	8.04***
λ₁tau intercept	0.0153	0.60
λ₂forecast adj.	0.0349	1.32
λ₃tau persistence	0.9451	18.39***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.7442	20.96***
γ leverage Additional response to negative shocks	0.5000	8.04***
λ₁ tau intercept Baseline long-term coefficient	0.0153	0.60
λ₂ forecast adj. Forecast performance sensitivity	0.0349	1.32
λ₃ tau persistence Long-term factor persistence	0.9451	18.39***

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