CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

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How volatility evolves over time

How illiquidity evolves over time

{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	0.2318	5.93***
βGARCH	0.7324	20.71***
γleverage	-0.1708	-4.27***
λ₁tau intercept	1.5586	2.18**
λ₂forecast adj.	0.6739	2.46**
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.2318	5.93***
β GARCH Volatility persistence	0.7324	20.71***
γ leverage Additional response to negative shocks	-0.1708	-4.27***
λ₁ tau intercept Baseline long-term coefficient	1.5586	2.18**
λ₂ forecast adj. Forecast performance sensitivity	0.6739	2.46**
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

ICE BofAML U.S. Bond Market 6 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 6 Month Option Volatility Estimate Index Analyses