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

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EURO STOXX 50 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
ωlong-run	0.0680	1.87*
αscore	0.0487	7.80***
βpersistence	0.9905	171.58***
νDF	7.6640	1.17

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	0.0680	1.87*
α score Weight on the scaled score	0.0487	7.80***
β persistence Volatility persistence	0.9905	171.58***
ν DF Student-t tail thickness	7.6640	1.17

V-Lab

Bloomberg Euro Aggregate Treasury Bond Index Total Return Value Unhedged EUR GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bloomberg Euro Aggregate Treasury Bond Index Total Return Value Unhedged EUR Analyses