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

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ICE BofAML U.S. Bond Market 6 Month 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)

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

CBOE Volatility Index

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CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7979	4.44***
α ARCH Response to squared shocks	0.1495	4.55***
β GARCH Volatility persistence	0.7831	25.45***

γ₁	-0.3658	-0.88
γ₂	0.2778	0.44
γ₃	0.3630	0.88
γ₄	-0.8845	-2.26**
γ₅	1.6356	4.52***
γ₆	-1.7367	-5.01***
γ₇	0.9133	2.50**
γ₈	-0.5503	-0.95

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PIMCO Enhanced Low Duration Active ETF Spline-GARCH Volatility Analysis

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