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

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

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CBOE Volatility Index

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CBOE 1-Day Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0849	10.65***
α ARCH Response to squared shocks	0.0456	61.51***
β GARCH Volatility persistence	0.9985	5,705.80***
ν DF Student-t tail thickness	6.2787	25.99***

V-Lab

Bloomberg US Government Inflation-Linked Bond Index Total Return Unhedged USD GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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