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

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CDX/CBOE NA High Yield 3-Month Volatility Index (BP Volatility)

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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

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CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9166	3.81***
α ARCH Response to squared shocks	0.0694	6.96***
β GARCH Volatility persistence	0.9091	71.98***

γ₁	0.1047	1.66*
γ₂	-0.1663	-1.88*
γ₃	0.0904	1.87*
γ₄	-0.0488	-1.01
γ₅	0.0906	1.80*
γ₆	-0.1289	-3.65***

V-Lab

Bloomberg Asian Pacific Aggregate Bond Index Total Return Value Unhedged JPY Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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