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)

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5762	4.86***
α ARCH Response to squared shocks	0.2292	10.75***
β GARCH Volatility persistence	0.7088	28.97***

γ₁	-0.2112	-2.08**
γ₂	0.3718	2.24**
γ₃	-0.3641	-3.22***
γ₄	0.4552	5.11***
γ₅	-0.4606	-4.98***
γ₆	0.3761	4.13***
γ₇	-0.2680	-3.24***
γ₈	0.1585	2.21**
γ₉	-0.0345	-0.54
γ₁₀	-0.0653	-1.41

V-Lab

Bloomberg EM USD Aggregate Bond Index Total Return Value Unhedged USD Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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