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)

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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)

CBOE Volatility Index

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CBOE 1-Day Volatility Index

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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0434	5.89***
α ARCH Response to squared shocks	0.1773	30.17***
β GARCH Volatility persistence	0.9494	113.79***
ν DF Student-t tail thickness	3.2479	22.60***

V-Lab

Bloomberg US Municipal Bond Index Total Return Value Unhedged USD GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bloomberg US Municipal Bond Index Total Return Value Unhedged USD Analyses