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

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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)

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

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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

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{type} for {date}

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	param	t-stat
$ω$	0.9428	0.04
$α$	0.1840	0.01
$β$	0.8160	0.03
$γ_{1}$	-5.9596	-0.02
$γ_{2}$	8.1294	0.02
$γ_{3}$	-3.6477	-0.03
$γ_{4}$	2.4861	0.04
$γ_{5}$	-1.2238	-0.06
$γ_{6}$	0.1053	0.01
$γ_{7}$	0.1526	0.00
$γ_{8}$	0.0398	0.00
$γ_{9}$	-0.6497	-0.00

V-Lab

VanEck Fallen Angel High Yield Bond ETF Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, February 17th, 2026:2.82% (-0.02%)

Date Range:

Parameter Estimates

News Impact Curve

Volatility Forecasts

Other VanEck Fallen Angel High Yield Bond ETF Analyses