Data Documentation & Code › United States
U.S. bond market condition measures
Two daily measures of the state of the U.S. Treasury market: Idiosyncratic Treasury Volatility (IT-VOL) and Treasury Market Complexity (T-COM).
File format
One CSV file carrying both measures.
| Column | Meaning |
|---|---|
| Date | Observation date (YYYY-MM-DD), no header text |
IT-VOL | Idiosyncratic Treasury Volatility |
T-COM | Treasury Market Complexity |
Data availability
Daily from June 14, 1961.
Construction
Both measures are built from the exposure of Treasury returns to the term structure factors, whose explanatory power varies over time. IT-VOL is idiosyncratic volatility normalised by overall volatility: how hard the observed bond returns are to explain even with a flexible model. T-COM measures how much variation is explained by higher-order factors. Both are strongly related to the term structure risk premium.
Shrinking the Term Structure · Paper & citation →