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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	46.1661	10.04***
α ARCH Response to squared shocks	0.0862	12.12***
β GARCH Volatility persistence	0.9113	86.78***
ν DF Student-t tail thickness	4.8596	3.69***

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CDX/CBOE NA High Yield 1-Month Volatility Index (BP Volatility) GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CDX/CBOE NA High Yield 1-Month Volatility Index (BP Volatility) Analyses