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

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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
mwindow	46
αARCH	0.1237	2.78***
βGARCH	0.7954	29.32***
γleverage	0.0278	0.50
λ₁tau intercept	0.0026	2.68***
λ₂forecast adj.	0.8787	14.46***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.1237	2.78***
β GARCH Volatility persistence	0.7954	29.32***
γ leverage Additional response to negative shocks	0.0278	0.50
λ₁ tau intercept Baseline long-term coefficient	0.0026	2.68***
λ₂ forecast adj. Forecast performance sensitivity	0.8787	14.46***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

PIMCO Enhanced Low Duration Active ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PIMCO Enhanced Low Duration Active ETF Analyses