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

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ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index

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

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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	56
αARCH	0.0344	3.74***
βGARCH	0.8816	43.76***
γleverage	0.0281	2.18**
λ₁tau intercept	0.1397	3.86***
λ₂forecast adj.	0.9232	22.67***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0344	3.74***
β GARCH Volatility persistence	0.8816	43.76***
γ leverage Additional response to negative shocks	0.0281	2.18**
λ₁ tau intercept Baseline long-term coefficient	0.1397	3.86***
λ₂ forecast adj. Forecast performance sensitivity	0.9232	22.67***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

30Y US Treasury 30 Year Zero Coupon Yield Continuously Compounded MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 30Y US Treasury 30 Year Zero Coupon Yield Continuously Compounded Analyses