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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1429	28.71***
β GARCH Volatility persistence	0.7955	70.64***
γ leverage Additional response to negative shocks	-0.1350	-12.20***
λ₁ tau intercept Baseline long-term coefficient	0.5797	1.18
λ₂ forecast adj. Forecast performance sensitivity	0.0292	1.67*
λ₃ tau persistence Long-term factor persistence	0.9584	36.39***

V-Lab

CDX/CBOE NA High Yield 1-Month Volatility Index (BP Volatility) MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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