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

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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

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Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0348	8.34***
β GARCH Volatility persistence	0.7527	44.97***
γ leverage Additional response to negative shocks	0.1219	11.86***
λ₁ tau intercept Baseline long-term coefficient	0.0001	1.14
λ₂ forecast adj. Forecast performance sensitivity	0.0395	2.98***
λ₃ tau persistence Long-term factor persistence	0.9596	65.21***

V-Lab

Bloomberg Asian Pacific Aggregate Bond Index Total Return Value Unhedged JPY MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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