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

CBOE Russell 2000 Volatility Index

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{name} Model Equation

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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	0.9974	2.20**
αARCH	0.0861	6.89***
βGARCH	0.9139	73.38***

γ₁	-0.2682	-1.64
γ₂	0.3432	1.51
γ₃	-0.1037	-0.94
γ₄	0.1768	2.40**
γ₅	-0.3256	-3.46***
γ₆	0.1595	1.14
γ₇	0.1212	0.93
γ₈	-0.1370	-1.93*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9974	2.20**
α ARCH Response to squared shocks	0.0861	6.89***
β GARCH Volatility persistence	0.9139	73.38***

γ₁	-0.2682	-1.64
γ₂	0.3432	1.51
γ₃	-0.1037	-0.94
γ₄	0.1768	2.40**
γ₅	-0.3256	-3.46***
γ₆	0.1595	1.14
γ₇	0.1212	0.93
γ₈	-0.1370	-1.93*

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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