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)

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 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
m window Rolling window length	21
α ARCH Response to squared shocks	0.0315	14.72***
β GARCH Volatility persistence	0.9575	977.05***
γ leverage Additional response to negative shocks	0.0115	4.05***
λ₁ tau intercept Baseline long-term coefficient	0.0390	0.21
λ₂ forecast adj. Forecast performance sensitivity	0.1885	0.23
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Bloomberg US Aggregate: Government-Related Total Return Index Unhedged USD MF2-GARCH Volatility Analysis

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