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
$ω$	1.3064	3.85
$α$	0.2970	7.16
$β$	0.6311	13.83
$γ_{1}$	2.0758	2.15
$γ_{2}$	-3.6703	-2.43
$γ_{3}$	2.5360	2.32
$γ_{4}$	-1.0832	-1.09
$γ_{5}$	0.7615	0.65
$γ_{6}$	-2.4295	-1.71
$γ_{7}$	4.3751	3.83
$γ_{8}$	-4.5550	-5.73
$γ_{9}$	1.9272	2.16
$γ_{10}$	1.2297	0.95

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bloomberg Euro Contingent Capital Bond TR Index Unhedged EUR Analyses