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	1.4208	6.20***
αARCH	0.0833	5.57***
βGARCH	0.8557	37.53***

γ₁	-0.2971	-1.77*
γ₂	0.2769	1.17
γ₃	0.1660	1.27
γ₄	-0.0097	-0.07
γ₅	-0.2413	-1.49
γ₆	-0.1266	-0.83
γ₇	0.7910	6.70***
γ₈	-1.0370	-10.78***
γ₉	0.6050	7.96***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4208	6.20***
α ARCH Response to squared shocks	0.0833	5.57***
β GARCH Volatility persistence	0.8557	37.53***

γ₁	-0.2971	-1.77*
γ₂	0.2769	1.17
γ₃	0.1660	1.27
γ₄	-0.0097	-0.07
γ₅	-0.2413	-1.49
γ₆	-0.1266	-0.83
γ₇	0.7910	6.70***
γ₈	-1.0370	-10.78***
γ₉	0.6050	7.96***

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