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)

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

CBOE NASDAQ-100 Volatility Index

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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
m window Rolling window length	21
α ARCH Response to squared shocks	0.0185	6.47***
β GARCH Volatility persistence	0.9769	349.25***
γ leverage Additional response to negative shocks	0.0061	6.97***
λ₁ tau intercept Baseline long-term coefficient	0.1038	0.23
λ₂ forecast adj. Forecast performance sensitivity	0.3177	0.23
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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ICE BofA AAA US Corporate Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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