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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

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CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

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	param	t-stat
$m$	31
$α$	0.7902	7,901,630.00
$β$	0.0097	96,900.00
$γ$	0.4003	4,002,930.00
$λ_{1}$	4.9493	54.12
$λ_{2}$	0.1144	493.07
$λ_{3}$	0.6785	2,725.07

V-Lab

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

Date Range:

News Impact Curve

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