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

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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)

CBOE 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
ω const Unconditional variance weight	1.5381	2.87***
α ARCH Response to squared shocks	0.1518	8.12***
β GARCH Volatility persistence	0.7890	38.73***

γ₁	0.1622	1.46
γ₂	-0.2879	-1.92*
γ₃	0.2775	3.85***
γ₄	-0.3182	-5.29***
γ₅	0.3125	5.03***
γ₆	-0.2965	-4.59***
γ₇	0.3365	5.18***
γ₈	-0.3081	-5.27***
γ₉	0.1483	3.73***

V-Lab

ICE BofA Emerging Markets Corporate Plus Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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