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

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CDX/CBOE NA High Yield 1-Month Volatility Index (BP Volatility)

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

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FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0012	14.19***
α ARCH Response to squared shocks	0.0390	14.95***
β GARCH Volatility persistence	0.9492	472.01***
γ leverage Additional response to negative shocks	0.0097	1.72*

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Bloomberg Sterling Aggregate Bond Index Total Return Value Unhedged GBP GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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