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CDX/CBOE NA High Yield 3-Month Volatility Index (BP Volatility)

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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 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
m window Rolling window length	21
α ARCH Response to squared shocks	0.0241	11.27***
β GARCH Volatility persistence	0.9707	424.27***
γ leverage Additional response to negative shocks	0.0063	5.06***
λ₁ tau intercept Baseline long-term coefficient	0.0357	0.29
λ₂ forecast adj. Forecast performance sensitivity	0.2976	0.30
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Bloomberg US Intermediate Government/Credit Bond Index Total Return Unhedged USD MF2-GARCH Volatility Analysis

Date Range:

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