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

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CBOE DJIA Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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
mwindow	116
αARCH	0.0187	4.21***
βGARCH	0.9517	160.79***
γleverage	0.0296	3.54***
λ₁tau intercept	0.0639	2.60***
λ₂forecast adj.	0.9722	37.36***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.0187	4.21***
β GARCH Volatility persistence	0.9517	160.79***
γ leverage Additional response to negative shocks	0.0296	3.54***
λ₁ tau intercept Baseline long-term coefficient	0.0639	2.60***
λ₂ forecast adj. Forecast performance sensitivity	0.9722	37.36***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

20Y US Treasury 20 Year Zero Coupon Yield Continuously Compounded MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 20Y US Treasury 20 Year Zero Coupon Yield Continuously Compounded Analyses