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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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.0672	4.39***
βGARCH	0.7215	22.79***
γleverage	0.0955	3.01***
λ₁tau intercept	0.0128	2.55**
λ₂forecast adj.	0.0948	7.81***
λ₃tau persistence	0.9052	70.24***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0672	4.39***
β GARCH Volatility persistence	0.7215	22.79***
γ leverage Additional response to negative shocks	0.0955	3.01***
λ₁ tau intercept Baseline long-term coefficient	0.0128	2.55**
λ₂ forecast adj. Forecast performance sensitivity	0.0948	7.81***
λ₃ tau persistence Long-term factor persistence	0.9052	70.24***

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