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

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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)

CBOE Volatility Index

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CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month 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	-0.0245	-12.19***
α ARCH Response to squared shocks	0.1129	33.41***
β GARCH Volatility persistence	0.9913	1,601.51***
γ leverage Additional response to negative shocks	-0.0100	-3.92***

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Bloomberg US Intermediate Government/Credit Bond Index Total Return Unhedged USD EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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