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

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FTSE 100 Implied Volatility Index 30 Days

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EURO STOXX 50 Volatility Index

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{name} Model Equation

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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	0.0014	3.73***
αARCH	0.0417	3.98***
βGARCH	0.9445	113.35***
γleverage	0.0107	0.48

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0014	3.73***
α ARCH Response to squared shocks	0.0417	3.98***
β GARCH Volatility persistence	0.9445	113.35***
γ leverage Additional response to negative shocks	0.0107	0.48

V-Lab

Bloomberg Sterling Aggregate Bond Index Total Return Value Unhedged GBP GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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