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

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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

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CBOE 1-Day Volatility Index

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CBOE Skew Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	111
α ARCH Response to squared shocks	0.1059	21.56***
β GARCH Volatility persistence	0.8232	171.71***
γ leverage Additional response to negative shocks	0.0762	11.93***
λ₁ tau intercept Baseline long-term coefficient	0.0180	8.22***
λ₂ forecast adj. Forecast performance sensitivity	0.7658	9.53***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

iShares National AMT-Free Muni Bond ETF MF2-GARCH Volatility Analysis

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