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)

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

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

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8112	1.67*
α ARCH Response to squared shocks	0.2426	10.08***
β GARCH Volatility persistence	0.7531	35.96***

γ₁	-0.1256	-0.58
γ₂	0.0542	0.17
γ₃	0.0844	0.37
γ₄	-0.3826	-1.57
γ₅	0.9833	3.30***
γ₆	-1.7126	-2.82***
γ₇	2.9239	2.86***
γ₈	-3.0970	-2.63***
γ₉	1.6696	1.27

V-Lab

Bloomberg Euro Floating-Rate Note Bond Index Total Return Value Unhedged EUR Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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