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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CBOE NASDAQ-100 Volatility Index

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CBOE Skew Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3425	6.44***
α ARCH Response to squared shocks	0.0904	5.52***
β GARCH Volatility persistence	0.8315	29.10***

γ₁	-0.2697	-1.67*
γ₂	0.2460	1.08
γ₃	0.1604	1.28
γ₄	0.0135	0.10
γ₅	-0.2596	-1.67*
γ₆	-0.1021	-0.71
γ₇	0.6476	5.48***
γ₈	-0.5583	-3.67***
γ₉	-0.0007	0.00

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