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)

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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.0140	16.17***
β GARCH Volatility persistence	0.9537	653.69***
γ leverage Additional response to negative shocks	0.0329	19.24***
λ₁ tau intercept Baseline long-term coefficient	0.0846	0.48
λ₂ forecast adj. Forecast performance sensitivity	0.9674	0.51
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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20Y US Treasury CMT 20 Year MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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