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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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
ωconst	0.0027	1.39
αARCH	0.0229	5.15***
βGARCH	0.9620	234.81***
γleverage	0.0285	2.41**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0027	1.39
α ARCH Response to squared shocks	0.0229	5.15***
β GARCH Volatility persistence	0.9620	234.81***
γ leverage Additional response to negative shocks	0.0285	2.41**

V-Lab

20Y US Treasury 20 Year Zero Coupon Yield Continuously Compounded GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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