CBOE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.6281	4.58***
αARCH	0.0992	4.78***
βGARCH	0.8207	19.84***

γ₁	-0.0387	-0.45
γ₂	0.0171	0.13
γ₃	0.0629	0.92
γ₄	-0.0789	-1.68*
γ₅	0.0156	0.33
γ₆	0.1118	2.56**
γ₇	-0.1845	-4.97***
γ₈	0.1331	4.99***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6281	4.58***
α ARCH Response to squared shocks	0.0992	4.78***
β GARCH Volatility persistence	0.8207	19.84***

γ₁	-0.0387	-0.45
γ₂	0.0171	0.13
γ₃	0.0629	0.92
γ₄	-0.0789	-1.68*
γ₅	0.0156	0.33
γ₆	0.1118	2.56**
γ₇	-0.1845	-4.97***
γ₈	0.1331	4.99***

V-Lab

ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index Zero Slope Spline-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