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)

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

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CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

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CBOE Skew Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5924	2.64***
α ARCH Response to squared shocks	0.0717	2.68***
β GARCH Volatility persistence	0.8209	15.11***

γ₁	0.1985	0.47
γ₂	-0.2060	-0.39
γ₃	-0.3275	-0.95
γ₄	0.8547	2.09**
γ₅	-0.7758	-1.99**
γ₆	0.7961	2.20**
γ₇	-1.3899	-4.26***
γ₈	1.2034	4.33***
γ₉	-0.3154	-1.63

V-Lab

State Street SPDR Bloomberg 1-10 Year TIPS ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR Bloomberg 1-10 Year TIPS ETF Analyses