ICE BofAML U.S. Bond Market Option Volatility Estimate Index

ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index

ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index

CDX/CBOE NA High Yield 1-Month Volatility Index (BP Volatility)

CDX/CBOE NA High Yield 3-Month Volatility Index (BP Volatility)

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)

CBOE Volatility Index

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CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

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	param	t-stat
$ω$	1.0681	6.40
$α$	0.0175	2.54
$β$	0.9564	36.08
$γ_{1}$	-0.9907	-5.25
$γ_{2}$	1.6696	4.53
$γ_{3}$	-1.0345	-2.47
$γ_{4}$	0.5891	1.64
$γ_{5}$	-0.3609	-1.91
$γ_{6}$	0.0415	0.39
$γ_{7}$	0.3991	3.84
$γ_{8}$	-0.3205	-1.84
$γ_{9}$	-0.1190	-0.41

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State Street SPDR Bloomberg 1-3 Month T-Bill ETF Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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