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CDX/CBOE NA High Yield 6-Month Volatility Index (BP Volatility)

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CDX/CBOE NA Investment Grade 3-Month Volatility Index (BP Volatility)

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CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

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	param	t-stat
$ω$	1.1887	4.72
$α$	0.1953	10.82
$β$	0.7818	47.40
$γ_{1}$	-0.0141	-1.59
$γ_{2}$	0.0260	1.89
$γ_{3}$	-0.0160	-2.41

V-Lab

ICE BofA BB US High Yield Index Zero Slope Spline-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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