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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.6046	11.18***
α ARCH Response to squared shocks	0.1145	11.90***
β GARCH Volatility persistence	0.8877	138.39***
γ leverage Additional response to negative shocks	-0.1145	-10.94***

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CDX/CBOE NA Investment Grade 1-Month Volatility Index (BP Volatility) GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CDX/CBOE NA Investment Grade 1-Month Volatility Index (BP Volatility) Analyses