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

CBOE S&P 500 9-Day 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	0.0033	2.74***
αARCH	0.0446	4.06***
βGARCH	0.9578	197.28***
γleverage	-0.0144	-0.97

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0033	2.74***
α ARCH Response to squared shocks	0.0446	4.06***
β GARCH Volatility persistence	0.9578	197.28***
γ leverage Additional response to negative shocks	-0.0144	-0.97

V-Lab

Bloomberg US Treasury 20+ Yr Bond Index Total Return Value Unhedged USD GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bloomberg US Treasury 20+ Yr Bond Index Total Return Value Unhedged USD Analyses