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
$ω$	1.3148	6.53
$α$	0.1049	5.69
$β$	0.7812	20.90
$γ_{1}$	-0.4072	-2.34
$γ_{2}$	0.4807	2.02
$γ_{3}$	-0.1382	-0.96
$γ_{4}$	0.4222	2.76
$γ_{5}$	-0.5181	-3.70
$γ_{6}$	0.1862	1.32
$γ_{7}$	-0.3450	-2.01
$γ_{8}$	1.0325	5.81
$γ_{9}$	-1.2560	-5.69
$γ_{10}$	1.0958	2.47

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares 0-1 Year Treasury Bond ETF Analyses