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 Russell 2000 Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0656	7.44***
α ARCH Response to squared shocks	0.0786	5.13***
β GARCH Volatility persistence	0.8971	54.47***

V-Lab

Bloomberg EM Local Currency Liquid Government Bond Index TR Unhedged USD Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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