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

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	-0.0129	-6.69***
α ARCH Response to squared shocks	0.2366	26.35***
β GARCH Volatility persistence	0.9853	640.63***
γ leverage Additional response to negative shocks	-0.1206	-17.12***

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Invesco Bloomberg Enhanced Fallen Angels ETF EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco Bloomberg Enhanced Fallen Angels ETF Analyses