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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	46.0797	9.95***
α ARCH Response to squared shocks	0.0848	12.02***
β GARCH Volatility persistence	0.9122	86.91***
ν DF Student-t tail thickness	4.8628	3.63***

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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