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

CBOE Russell 2000 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
ωconst	0.6441	2.89***
αARCH	0.1498	3.79***
βGARCH	0.8044	16.89***

γ₁	-3.6163	-4.66***
γ₂	5.0844	3.89***
γ₃	-1.8588	-1.53
γ₄	0.5528	0.58

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6441	2.89***
α ARCH Response to squared shocks	0.1498	3.79***
β GARCH Volatility persistence	0.8044	16.89***

γ₁	-3.6163	-4.66***
γ₂	5.0844	3.89***
γ₃	-1.8588	-1.53
γ₄	0.5528	0.58

V-Lab

Janus Henderson B-BBB CLO ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Janus Henderson B-BBB CLO ETF Analyses