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

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	1.5832	2.67***
α ARCH Response to squared shocks	0.0714	2.63***
β GARCH Volatility persistence	0.8159	14.50***

γ₁	0.1968	0.47
γ₂	-0.1951	-0.37
γ₃	-0.3571	-1.03
γ₄	0.9031	2.20**
γ₅	-0.8412	-2.15**
γ₆	0.8854	2.43**
γ₇	-1.5049	-4.49***
γ₈	1.3688	4.23***
γ₉	-0.6814	-1.27

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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