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

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2849	3.75***
α ARCH Response to squared shocks	0.2978	7.05***
β GARCH Volatility persistence	0.6317	13.74***

γ₁	1.9687	2.03**
γ₂	-3.5003	-2.31**
γ₃	2.4312	2.22**
γ₄	-1.0161	-1.02
γ₅	0.7228	0.61
γ₆	-2.4146	-1.69*
γ₇	4.3990	3.82***
γ₈	-4.6691	-5.92***
γ₉	2.2452	2.70***
γ₁₀	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