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

CDX/CBOE NA High Yield 6-Month Volatility Index (BP Volatility)

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CDX/CBOE NA Investment Grade 3-Month Volatility Index (BP Volatility)

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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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	param	t-stat
$m$	76
$α$	0.0387	10.59
$β$	0.8932	201.62
$γ$	0.1361	17.12
$λ_{1}$	0.1414	5.54
$λ_{2}$	0.0222	2.96
$λ_{3}$	0.9680	98.27

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Bloomberg US HiYld RBI(SM) Series 1 Total Return Index Unhedged USD MF2-GARCH Volatility Analysis

Date Range:

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