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
$ω$	1.0967	3.46
$α$	0.2027	12.27
$β$	0.7745	48.90
$γ_{1}$	0.0957	1.63
$γ_{2}$	-0.2796	-3.16
$γ_{3}$	0.3853	6.13
$γ_{4}$	-0.3659	-6.65
$γ_{5}$	0.2730	4.61
$γ_{6}$	-0.1597	-2.57
$γ_{7}$	0.1230	1.78
$γ_{8}$	-0.2097	-2.08

V-Lab

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

Volatility Prediction for Friday, February 6th, 2026:3.65% (+0.03%)

Date Range:

Parameter Estimates

News Impact Curve

Volatility Forecasts

Other ICE BofA CCC & Lower US High Yield Index Analyses