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

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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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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8394	5.13***
α ARCH Response to squared shocks	0.0776	10.71***
β GARCH Volatility persistence	0.9198	125.43***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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