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

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

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

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{type} for {date}

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	param	t-stat
$ω$	1.1210	3.33
$α$	0.2041	12.41
$β$	0.7754	50.47
$γ_{1}$	0.0877	1.47
$γ_{2}$	-0.2671	-2.97
$γ_{3}$	0.3755	5.87
$γ_{4}$	-0.3535	-6.29
$γ_{5}$	0.2537	4.23
$γ_{6}$	-0.1239	-2.04
$γ_{7}$	0.0483	0.85
$γ_{8}$	-0.0396	-0.96

V-Lab

ICE BofA CCC & Lower US High Yield Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, January 22nd, 2026:4.57% (+0.74%)

Date Range:

Parameter Estimates

News Impact Curve

Volatility Forecasts

Other ICE BofA CCC & Lower US High Yield Index Analyses