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

ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index

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

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

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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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3824	6.26***
α ARCH Response to squared shocks	0.0861	5.67***
β GARCH Volatility persistence	0.8475	35.08***

γ₁	-0.2907	-1.76*
γ₂	0.2697	1.16
γ₃	0.1692	1.32
γ₄	-0.0199	-0.14
γ₅	-0.2139	-1.33
γ₆	-0.1799	-1.20
γ₇	0.8866	7.35***
γ₈	-1.2504	-8.89***
γ₉	1.4870	4.15***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares 0-1 Year Treasury Bond ETF Analyses