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

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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)

CDX/CBOE NA Investment Grade 1-Month Volatility Index (BP Volatility)

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

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CBOE 1-Day Volatility Index

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CBOE Skew Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0003	12.69***
α ARCH Response to squared shocks	0.1443	22.61***
β GARCH Volatility persistence	0.8498	161.77***
γ leverage Additional response to negative shocks	0.0210	5.31***

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PIMCO Enhanced Low Duration Active ETF AGARCH Volatility Analysis

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