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

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CDX/CBOE NA High Yield 1-Month Volatility Index (BP Volatility)

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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	0.0030	4.19***
α ARCH Response to squared shocks	0.0192	17.31***
β GARCH Volatility persistence	0.9635	1,014.24***
γ leverage Additional response to negative shocks	0.0344	14.08***

V-Lab

7Y US Treasury 7 Year Zero Coupon Yield Continuously Compounded GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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