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)

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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)

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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	0.0055	16.81***
α ARCH Response to squared shocks	0.0421	14.54***
β GARCH Volatility persistence	0.9091	259.89***
γ leverage Additional response to negative shocks	0.0509	7.42***

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Bloomberg EM Local Currency Liquid Government Bond Index TR Unhedged USD GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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