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

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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)

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CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0002	12.59***
α ARCH Response to squared shocks	0.0434	24.08***
β GARCH Volatility persistence	0.9493	638.41***
γ leverage Additional response to negative shocks	0.0061	1.78*

V-Lab

Bloomberg US Intermediate Government/Credit Bond Index Total Return Unhedged USD GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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