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

ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index

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

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5671	5.40***
α ARCH Response to squared shocks	0.0650	5.66***
β GARCH Volatility persistence	0.8844	50.16***

γ₁	-0.2635	-2.91***
γ₂	0.2945	2.30**
γ₃	-0.0061	-0.08
γ₄	-0.0531	-0.67
γ₅	0.1828	2.16**
γ₆	-0.3588	-5.16***
γ₇	0.2810	6.59***

V-Lab

iShares 10-20 Year Treasury Bond ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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