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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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0279	4.42***
β GARCH Volatility persistence	0.7968	112.72***
γ leverage Additional response to negative shocks	0.1191	13.06***
λ₁ tau intercept Baseline long-term coefficient	0.1062	0.44
λ₂ forecast adj. Forecast performance sensitivity	0.4702	0.41
λ₃ tau persistence Long-term factor persistence	0.3673	0.24

V-Lab

Bloomberg EM Govt Inflation-Linked All Maturities Bond Index TR Unhedged USD MF2-GARCH Volatility Analysis

Date Range:

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