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

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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)

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2313	7.57***
α ARCH Response to squared shocks	0.0665	21.16***
β GARCH Volatility persistence	0.9794	344.13***
ν DF Student-t tail thickness	6.8897	3.71***

V-Lab

Bloomberg EM Local Currency Liquid Government Bond Index TR Unhedged USD GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bloomberg EM Local Currency Liquid Government Bond Index TR Unhedged USD Analyses