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

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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 3-Month Volatility Index

CBOE 1-Day Volatility Index

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{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	0.0143	5.94***
β GARCH Volatility persistence	0.9760	440.03***
γ leverage Additional response to negative shocks	0.0115	9.08***
λ₁ tau intercept Baseline long-term coefficient	0.0711	0.34
λ₂ forecast adj. Forecast performance sensitivity	0.2962	0.39
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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ICE BofA Single-A US Corporate Index MF2-GARCH Volatility Analysis

Date Range:

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