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

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

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1125	3.20***
α ARCH Response to squared shocks	0.2032	12.58***
β GARCH Volatility persistence	0.7777	52.47***

γ₁	0.0654	1.13
γ₂	-0.2258	-2.60***
γ₃	0.3405	5.51***
γ₄	-0.3253	-6.33***
γ₅	0.2359	4.49***
γ₆	-0.1126	-2.16**
γ₇	0.0311	0.64
γ₈	-0.0208	-0.59

V-Lab

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

Date Range:

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Volatility Forecast

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