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 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	1.5844	2.65***
α ARCH Response to squared shocks	0.0716	2.66***
β GARCH Volatility persistence	0.8186	14.85***

γ₁	0.1924	0.46
γ₂	-0.1908	-0.36
γ₃	-0.3518	-1.01
γ₄	0.8883	2.15**
γ₅	-0.8179	-2.08**
γ₆	0.8499	2.33**
γ₇	-1.4396	-4.37***
γ₈	1.2270	4.38***
γ₉	-0.3197	-1.64

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