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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 1-Day Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0003	14.95***
α ARCH Response to squared shocks	0.0441	24.60***
β GARCH Volatility persistence	0.9449	566.13***
γ leverage Additional response to negative shocks	0.0144	3.88***

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

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News Impact Curve

Volatility Forecast

Parameter Estimates

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