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CDX/CBOE NA Investment Grade 3-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	0.0226	17.19***
α ARCH Response to squared shocks	0.0475	13.51***
β GARCH Volatility persistence	0.8758	241.20***
γ leverage Additional response to negative shocks	0.0912	10.52***

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Bloomberg EM Govt Inflation-Linked All Maturities Bond Index TR Unhedged USD GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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