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 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
$ω$	1.3831	1.72
$α$	0.3976	6.05
$β$	0.5693	11.51
$γ_{1}$	4.3143	1.77
$γ_{2}$	-9.6519	-2.51
$γ_{3}$	10.2138	3.29
$γ_{4}$	-10.4330	-3.01

V-Lab

iShares iBonds 2022 Term High Yield and Income ETF Spline-GARCH Volatility Analysis

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Date Range:

Parameter Estimates

News Impact Curve

Volatility Forecasts

Other iShares iBonds 2022 Term High Yield and Income ETF Analyses