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	0.6118	4.64***
αARCH	0.0989	4.62***
βGARCH	0.8161	18.48***

γ₁	-0.0429	-0.52
γ₂	0.0226	0.18
γ₃	0.0618	0.93
γ₄	-0.0804	-1.77*
γ₅	0.0172	0.37
γ₆	0.1174	2.68***
γ₇	-0.2143	-5.11***
γ₈	0.2481	3.57***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6118	4.64***
α ARCH Response to squared shocks	0.0989	4.62***
β GARCH Volatility persistence	0.8161	18.48***

γ₁	-0.0429	-0.52
γ₂	0.0226	0.18
γ₃	0.0618	0.93
γ₄	-0.0804	-1.77*
γ₅	0.0172	0.37
γ₆	0.1174	2.68***
γ₇	-0.2143	-5.11***
γ₈	0.2481	3.57***

V-Lab

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