iTraxx/CBOE Europe Main 1-Month Volatility Index (BP Volatility)

iTraxx/CBOE Europe Main 3-Month Volatility Index (BP Volatility)

iTraxx/CBOE Europe Main 6-Month Volatility Index (BP Volatility)

iTraxx/CBOE Europe Crossover 1-Month Volatility Index (BP Volatility)

iTraxx/CBOE Europe Crossover 3-Month Volatility Index (BP Volatility)

iTraxx/CBOE Europe Crossover 6-Month Volatility Index (BP Volatility)

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)

EURO STOXX 50 Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

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
$ω$	1.2849	3.75
$α$	0.2978	7.05
$β$	0.6317	13.74
$γ_{1}$	1.9687	2.03
$γ_{2}$	-3.5003	-2.31
$γ_{3}$	2.4312	2.22
$γ_{4}$	-1.0161	-1.02
$γ_{5}$	0.7228	0.61
$γ_{6}$	-2.4146	-1.69
$γ_{7}$	4.3990	3.82
$γ_{8}$	-4.6691	-5.92
$γ_{9}$	2.2452	2.70
$γ_{10}$	0.3330	0.54

V-Lab

Bloomberg Euro Contingent Capital Bond TR Index Unhedged EUR Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bloomberg Euro Contingent Capital Bond TR Index Unhedged EUR Analyses