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

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

CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day 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	0.1318	3.68***
βGARCH	0.6657	11.26***
γleverage	0.0198	0.44
λ₁tau intercept	0.0076	1.04
λ₂forecast adj.	0.0744	2.26**
λ₃tau persistence	0.9151	21.79***

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.1318	3.68***
β GARCH Volatility persistence	0.6657	11.26***
γ leverage Additional response to negative shocks	0.0198	0.44
λ₁ tau intercept Baseline long-term coefficient	0.0076	1.04
λ₂ forecast adj. Forecast performance sensitivity	0.0744	2.26**
λ₃ tau persistence Long-term factor persistence	0.9151	21.79***

V-Lab

Optimal Blue 30-Year Fixed Rate Conforming Mortgage Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Optimal Blue 30-Year Fixed Rate Conforming Mortgage Index Analyses