CBOE 10-Year Treasury Note Volatility Futures (DISCONTINUED) | FRED

NOTES

CBOE 10-Year Treasury Note Volatility Futures (DISCONTINUED) (VXTYN)

Source: Chicago Board Options Exchange

Units: Index, Not Seasonally Adjusted

Frequency: Daily, Close

Suggested Citation:

Chicago Board Options Exchange, CBOE 10-Year Treasury Note Volatility Futures (DISCONTINUED) [VXTYN], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/VXTYN, May 13, 2024.

Term Premium on a 10 Year Zero Coupon Bond (THREEFYTP10)

Source: Board of Governors of the Federal Reserve System (US)

Release: An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates

Units: Percent, Not Seasonally Adjusted

Frequency: Daily

Kim and Wright (2005) produced this data by fitting a simple three-factor arbitrage-free term structure model to U.S. Treasury yields since 1990, in order to evaluate the behavior of long-term yields, distant-horizon forward rates, and term premiums. For the full paper, please go to http://www.federalreserve.gov/pubs/feds/2005/200533/200533abs.html

Suggested Citation:

Board of Governors of the Federal Reserve System (US), Term Premium on a 10 Year Zero Coupon Bond [THREEFYTP10], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/THREEFYTP10, May 13, 2024.