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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 Skew Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.7288
β GARCH Volatility persistence	0.0212
γ leverage Additional response to negative shocks	0.5000
λ₁ tau intercept Baseline long-term coefficient	0.3024	7.65***
λ₂ forecast adj. Forecast performance sensitivity	0.9717	8.34***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Bloomberg EM Local Currency Liquid Government Bond Index TR Unhedged USD MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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