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	1.4275	6.29***
αARCH	0.0827	5.45***
βGARCH	0.8550	36.63***

γ₁	-0.2895	-1.76*
γ₂	0.2653	1.14
γ₃	0.1788	1.39
γ₄	-0.0321	-0.23
γ₅	-0.2210	-1.38
γ₆	-0.1261	-0.83
γ₇	0.7710	6.55***
γ₈	-1.0214	-10.91***
γ₉	0.6055	8.16***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4275	6.29***
α ARCH Response to squared shocks	0.0827	5.45***
β GARCH Volatility persistence	0.8550	36.63***

γ₁	-0.2895	-1.76*
γ₂	0.2653	1.14
γ₃	0.1788	1.39
γ₄	-0.0321	-0.23
γ₅	-0.2210	-1.38
γ₆	-0.1261	-0.83
γ₇	0.7710	6.55***
γ₈	-1.0214	-10.91***
γ₉	0.6055	8.16***

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