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)

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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	1.4201	6.35***
α ARCH Response to squared shocks	0.0884	5.68***
β GARCH Volatility persistence	0.8416	34.72***

γ₁	-0.2831	-1.72*
γ₂	0.2618	1.13
γ₃	0.1610	1.25
γ₄	0.0044	0.03
γ₅	-0.2495	-1.55
γ₆	-0.1165	-0.78
γ₇	0.7116	5.37***
γ₈	-0.7828	-4.16***
γ₉	0.2954	1.51

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares 0-1 Year Treasury Bond ETF Analyses