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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1175	18.53***
β GARCH Volatility persistence	0.8610	75.05***
γ leverage Additional response to negative shocks	-0.1175	-18.36***
λ₁ tau intercept Baseline long-term coefficient	0.2515	1.18
λ₂ forecast adj. Forecast performance sensitivity	0.0102	1.46
λ₃ tau persistence Long-term factor persistence	0.9849	92.33***

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CDX/CBOE NA Investment Grade 1-Month Volatility Index (BP Volatility) MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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