CBOE Volatility Index

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CBOE DJIA 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	0.1618	4.88***
βGARCH	0.7733	13.18***
γleverage	-0.1323	-3.85***
λ₁tau intercept	3.1548	1.45
λ₂forecast adj.	0.5920	1.52
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.1618	4.88***
β GARCH Volatility persistence	0.7733	13.18***
γ leverage Additional response to negative shocks	-0.1323	-3.85***
λ₁ tau intercept Baseline long-term coefficient	3.1548	1.45
λ₂ forecast adj. Forecast performance sensitivity	0.5920	1.52
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index Analyses