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
$ω$	0.9150	3.45
$α$	0.0711	6.30
$β$	0.9027	61.73
$γ_{1}$	-0.4120	-2.31
$γ_{2}$	0.8288	3.11
$γ_{3}$	-0.8720	-4.01
$γ_{4}$	0.5376	2.68
$γ_{5}$	0.2499	1.61
$γ_{6}$	-0.5661	-3.76
$γ_{7}$	0.0491	0.28
$γ_{8}$	0.8098	4.19
$γ_{9}$	-1.1536	-4.80
$γ_{10}$	0.7614	2.42

V-Lab

iShares 1-3 Year Treasury Bond ETF Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares 1-3 Year Treasury Bond ETF Analyses