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
$ω$	1.1834	3.08
$α$	0.1223	3.77
$β$	0.8523	30.34
$γ_{1}$	0.5757	0.62
$γ_{2}$	-1.1476	-0.79
$γ_{3}$	1.0828	1.57
$γ_{4}$	-0.8822	-3.87
$γ_{5}$	0.6890	3.18
$γ_{6}$	-0.7523	-3.43
$γ_{7}$	1.2993	6.19
$γ_{8}$	-1.7421	-7.56
$γ_{9}$	1.3721	3.81

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iShares MBS ETF Spline-GARCH Volatility Analysis

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