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 China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

CBOE Volatility Index

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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

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7763	3.58***
α ARCH Response to squared shocks	0.4247	4.95***
β GARCH Volatility persistence	0.1114	1.51

γ₁	2.7585	3.71***
γ₂	-3.6440	-3.19***
γ₃	1.7176	2.19**
γ₄	-2.5030	-3.24***
γ₅	3.1324	3.31***
γ₆	-2.5590	-3.17***
γ₇	2.4286	3.86***
γ₈	-2.0301	-5.22***

V-Lab

Bloomberg China Treasury + Policy Bank Bond Index Total Return Unhedged CNY Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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