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 Russell 2000 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
ω const Unconditional variance weight	0.0020	16.01***
α ARCH Response to squared shocks	0.0486	16.71***
β GARCH Volatility persistence	0.9216	387.73***
γ leverage Additional response to negative shocks	0.0430	7.86***

V-Lab

Bloomberg EM Local Currency Government Bond Index Total Return Unhedged USD GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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