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CDX/CBOE NA High Yield 1-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)

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0494	14.73***
β GARCH Volatility persistence	0.8149	56.33***
γ leverage Additional response to negative shocks	0.0717	12.65***
λ₁ tau intercept Baseline long-term coefficient	0.0011	3.02***
λ₂ forecast adj. Forecast performance sensitivity	0.0629	2.56**
λ₃ tau persistence Long-term factor persistence	0.9305	35.54***

V-Lab

Bloomberg EM Local Currency Government Bond Index Total Return Unhedged USD MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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