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CDX/CBOE NA High Yield 6-Month Volatility Index (BP Volatility)

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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
$ω$	3.4358	3.21
$α$	0.2673	12.70
$β$	0.7220	35.73
$γ_{1}$	0.0779	5.30
$γ_{2}$	-0.1137	-4.58
$γ_{3}$	0.0725	3.50
$γ_{4}$	-0.0549	-4.01

V-Lab

Bloomberg US Corporate High-Yield Bond Index Total Return Value Unhedged USD Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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