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

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

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CBOE 1-Day Volatility Index

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How volatility evolves over time

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{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
ωconst	1.4279	6.26***
αARCH	0.0822	5.47***
βGARCH	0.8574	37.60***

γ₁	-0.2933	-1.79*
γ₂	0.2742	1.18
γ₃	0.1713	1.34
γ₄	-0.0297	-0.21
γ₅	-0.2261	-1.39
γ₆	-0.1106	-0.71
γ₇	0.7553	6.22***
γ₈	-1.0214	-10.89***
γ₉	0.6171	8.31***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4279	6.26***
α ARCH Response to squared shocks	0.0822	5.47***
β GARCH Volatility persistence	0.8574	37.60***

γ₁	-0.2933	-1.79*
γ₂	0.2742	1.18
γ₃	0.1713	1.34
γ₄	-0.0297	-0.21
γ₅	-0.2261	-1.39
γ₆	-0.1106	-0.71
γ₇	0.7553	6.22***
γ₈	-1.0214	-10.89***
γ₉	0.6171	8.31***

V-Lab

iShares 0-1 Year Treasury Bond ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares 0-1 Year Treasury Bond ETF Analyses