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

ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index

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

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

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

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.0026	6.90***
αARCH	0.1217	7.32***
βGARCH	0.8289	74.55***
γleverage	0.0990	3.11***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0026	6.90***
α ARCH Response to squared shocks	0.1217	7.32***
β GARCH Volatility persistence	0.8289	74.55***
γ leverage Additional response to negative shocks	0.0990	3.11***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE BofA CCC & Lower US High Yield Index Analyses