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)

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)

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CBOE Russell 2000 Volatility Index

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CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

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	param	t-stat
$ω$	0.0026	27.31
$α$	0.1236	29.02
$β$	0.8262	288.98
$γ$	0.1004	12.32

V-Lab

ICE BofA CCC & Lower US High Yield Index GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, January 22nd, 2026:3.98% (+0.43%)

Date Range:

Parameter Estimates

News Impact Curve

Volatility Forecasts

Other ICE BofA CCC & Lower US High Yield Index Analyses