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

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CBOE Volatility Index

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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
ωconst	1.3775	3.92***
αARCH	0.0617	7.17***
βGARCH	0.9204	76.52***

γ₁	0.0071	1.80*
γ₂	-0.0086	-1.84*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3775	3.92***
α ARCH Response to squared shocks	0.0617	7.17***
β GARCH Volatility persistence	0.9204	76.52***

γ₁	0.0071	1.80*
γ₂	-0.0086	-1.84*

V-Lab

Bloomberg Global-Aggregate Total Return Index Value Hedged USD Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bloomberg Global-Aggregate Total Return Index Value Hedged USD Analyses