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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Param	Value	t-stat
ωconst	0.9508	3.66***
αARCH	0.0716	6.36***
βGARCH	0.9019	61.35***

γ₁	-0.3709	-2.20**
γ₂	0.7641	3.03***
γ₃	-0.8523	-4.08***
γ₄	0.5802	2.92***
γ₅	0.1753	1.13
γ₆	-0.5337	-3.71***
γ₇	0.1104	0.68
γ₈	0.6749	4.29***
γ₉	-1.0600	-6.81***
γ₁₀	0.6523	5.49***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9508	3.66***
α ARCH Response to squared shocks	0.0716	6.36***
β GARCH Volatility persistence	0.9019	61.35***

γ₁	-0.3709	-2.20**
γ₂	0.7641	3.03***
γ₃	-0.8523	-4.08***
γ₄	0.5802	2.92***
γ₅	0.1753	1.13
γ₆	-0.5337	-3.71***
γ₇	0.1104	0.68
γ₈	0.6749	4.29***
γ₉	-1.0600	-6.81***
γ₁₀	0.6523	5.49***

V-Lab

iShares 1-3 Year Treasury Bond ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares 1-3 Year Treasury Bond ETF Analyses