ICE BofAML U.S. Bond Market Option Volatility Estimate Index

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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 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	111
α ARCH Response to squared shocks	0.0484	21.79***
β GARCH Volatility persistence	0.8916	264.81***
γ leverage Additional response to negative shocks	0.0243	10.28***
λ₁ tau intercept Baseline long-term coefficient	0.0021	3.04***
λ₂ forecast adj. Forecast performance sensitivity	0.7646	4.01***
λ₃ tau persistence Long-term factor persistence	0.1872	0.90

V-Lab

ICE BofA AAA-A Emerging Markets Corporate Plus Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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