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

ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index

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

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CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

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CBOE Skew Index

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	1.2106	2.54**
α ARCH Response to squared shocks	0.1678	6.88***
β GARCH Volatility persistence	0.8009	35.67***

γ₁	-1.1410	-2.37**
γ₂	1.6739	2.56**
γ₃	-0.8555	-3.11***
γ₄	0.8780	2.95***
γ₅	-1.2487	-3.78***
γ₆	1.3006	3.98***
γ₇	-0.8167	-2.52**
γ₈	0.3470	1.22
γ₉	-0.4654	-2.08**
γ₁₀	0.5067	3.00***

V-Lab

Invesco Bloomberg Enhanced Fallen Angels ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco Bloomberg Enhanced Fallen Angels ETF Analyses