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

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CBOE Volatility Index

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CBOE DJIA Volatility Index

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CBOE S&P 500 9-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
mwindow	26
αARCH	0.0669	4.38***
βGARCH	0.7230	22.88***
γleverage	0.0948	3.00***
λ₁tau intercept	0.0126	2.55**
λ₂forecast adj.	0.0940	7.86***
λ₃tau persistence	0.9060	71.43***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0669	4.38***
β GARCH Volatility persistence	0.7230	22.88***
γ leverage Additional response to negative shocks	0.0948	3.00***
λ₁ tau intercept Baseline long-term coefficient	0.0126	2.55**
λ₂ forecast adj. Forecast performance sensitivity	0.0940	7.86***
λ₃ tau persistence Long-term factor persistence	0.9060	71.43***

V-Lab

1Y US Treasury 1 Year Zero Coupon Yield Continuously Compounded MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 1Y US Treasury 1 Year Zero Coupon Yield Continuously Compounded Analyses