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	2.2941	4.69***
αARCH	0.1698	4.93***
βGARCH	0.7306	18.09***

γ₁	0.2287	2.43**
γ₂	-0.3674	-2.65***
γ₃	0.2857	3.54***
γ₄	-0.1860	-2.37**
γ₅	-0.0224	-0.27
γ₆	0.1034	1.85*

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2941	4.69***
α ARCH Response to squared shocks	0.1698	4.93***
β GARCH Volatility persistence	0.7306	18.09***

γ₁	0.2287	2.43**
γ₂	-0.3674	-2.65***
γ₃	0.2857	3.54***
γ₄	-0.1860	-2.37**
γ₅	-0.0224	-0.27
γ₆	0.1034	1.85*

V-Lab

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