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)

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CDX/CBOE NA Investment Grade 1-Month Volatility Index (BP Volatility)

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CBOE 3-Month Volatility Index

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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	1.1951	4.88***
α ARCH Response to squared shocks	0.1947	10.87***
β GARCH Volatility persistence	0.7818	47.65***

γ₁	-0.0131	-1.55
γ₂	0.0242	1.85*
γ₃	-0.0150	-2.36**

V-Lab

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

Date Range:

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