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

ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index

ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index

CDX/CBOE NA High Yield 1-Month Volatility Index (BP Volatility)

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

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

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

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
$ω$	1.1771	3.06
$α$	0.1222	3.79
$β$	0.8532	30.64
$γ_{1}$	0.5548	0.60
$γ_{2}$	-1.1161	-0.77
$γ_{3}$	1.0632	1.54
$γ_{4}$	-0.8623	-3.75
$γ_{5}$	0.6657	3.03
$γ_{6}$	-0.7206	-3.25
$γ_{7}$	1.2310	5.92
$γ_{8}$	-1.5749	-8.04
$γ_{9}$	0.9766	6.30

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iShares MBS ETF Zero Slope Spline-GARCH Volatility Analysis

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