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

ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index

ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index

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)

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iTraxx/CBOE Europe Main 1-Month Volatility Index (BP Volatility)

iTraxx/CBOE Europe Main 3-Month Volatility Index (BP Volatility)

iTraxx/CBOE Europe Main 6-Month Volatility Index (BP Volatility)

iTraxx/CBOE Europe Crossover 1-Month Volatility Index (BP Volatility)

iTraxx/CBOE Europe Crossover 3-Month Volatility Index (BP Volatility)

iTraxx/CBOE Europe Crossover 6-Month Volatility Index (BP Volatility)

EURO STOXX 50 Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

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
$m$	26
$α$	0.0261	15.67
$β$	0.9529	498.13
$γ$	0.0301	15.49
$λ_{1}$	0.0327	0.26
$λ_{2}$	0.1673	0.28
$λ_{3}$	0.0000	0.00

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Bloomberg Euro Aggregate Corporate Bond Index Total Return Value Unhedged EUR MF2-GARCH Volatility Analysis

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News Impact Curve

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