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

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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)

CDX/CBOE NA Investment Grade 6-Month Volatility Index (BP Volatility)

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CBOE 1-Day Volatility Index

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	param	t-stat
$ω$	1.0958	6.25
$α$	0.0627	6.23
$β$	0.9141	73.40
$γ_{1}$	-0.0039	-1.46
$γ_{2}$	0.0068	2.07

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Bloomberg US Credit Baa Total Return Index Value Unhedged USD Zero Slope Spline-GARCH Volatility Analysis

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Volatility Forecast

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