ICE BofAML U.S. Bond Market Option Volatility Estimate Index

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ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index

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

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CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

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	1.2460	3.43***
α ARCH Response to squared shocks	0.2360	11.49***
β GARCH Volatility persistence	0.7488	39.08***

γ₁	0.2727	2.82***
γ₂	-0.5695	-3.25***
γ₃	0.5417	3.68***
γ₄	-0.3744	-3.07***
γ₅	0.1566	1.53
γ₆	-0.0109	-0.13
γ₇	0.0040	0.06
γ₈	-0.0599	-1.03
γ₉	0.0517	1.25

V-Lab

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

Date Range:

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Volatility Forecast

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