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

ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index

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

CDX/CBOE NA High Yield 1-Month Volatility Index (BP Volatility)

CDX/CBOE NA High Yield 3-Month Volatility Index (BP Volatility)

CDX/CBOE NA High Yield 6-Month Volatility Index (BP Volatility)

CDX/CBOE NA Investment Grade 1-Month Volatility Index (BP Volatility)

CDX/CBOE NA Investment Grade 3-Month Volatility Index (BP Volatility)

CDX/CBOE NA Investment Grade 6-Month Volatility Index (BP Volatility)

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

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	param	t-stat
$ω$	0.5656	5.42
$α$	0.0651	5.63
$β$	0.8834	49.38
$γ_{1}$	-0.2647	-2.91
$γ_{2}$	0.2946	2.29
$γ_{3}$	-0.0032	-0.04
$γ_{4}$	-0.0575	-0.72
$γ_{5}$	0.1867	2.20
$γ_{6}$	-0.3534	-5.11
$γ_{7}$	0.2680	6.30

V-Lab

iShares 10-20 Year Treasury Bond ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares 10-20 Year Treasury Bond ETF Analyses