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

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3320	6.36***
α ARCH Response to squared shocks	0.0885	5.48***
β GARCH Volatility persistence	0.8379	30.30***

γ₁	-0.2742	-1.67*
γ₂	0.2509	1.09
γ₃	0.1608	1.26
γ₄	0.0125	0.09
γ₅	-0.2609	-1.64
γ₆	-0.0977	-0.67
γ₇	0.6406	5.31***
γ₈	-0.5457	-3.48***
γ₉	-0.0157	-0.10

V-Lab

iShares 0-1 Year Treasury Bond ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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