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 1-Day 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	1.5782	2.65***
α ARCH Response to squared shocks	0.0718	2.65***
β GARCH Volatility persistence	0.8156	14.62***

γ₁	0.1885	0.45
γ₂	-0.1788	-0.33
γ₃	-0.3740	-1.06
γ₄	0.9197	2.22**
γ₅	-0.8588	-2.18**
γ₆	0.9045	2.48**
γ₇	-1.4912	-4.49***
γ₈	1.2565	4.45***
γ₉	-0.3322	-1.69*

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