ICE BofAML U.S. Bond Market Option Volatility Estimate Index

ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index

ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index

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

CDX/CBOE NA High Yield 3-Month Volatility Index (BP Volatility)

CDX/CBOE NA High Yield 6-Month Volatility Index (BP Volatility)

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

CDX/CBOE NA Investment Grade 3-Month Volatility Index (BP Volatility)

CDX/CBOE NA Investment Grade 6-Month Volatility Index (BP Volatility)

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

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{type} for {date}

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	param	t-stat
$ω$	0.8034	3.71
$α$	0.1256	1.59
$β$	0.7927	9.87
$γ_{1}$	-0.1199	-0.42
$γ_{2}$	0.6501	1.67
$γ_{3}$	-1.2065	-5.23
$γ_{4}$	0.9492	5.47

V-Lab

Western Asset Total Return ETF Zero Slope Spline-GARCH Volatility Analysis

This asset is not actively trading

Date Range:

Parameter Estimates

News Impact Curve

Volatility Forecasts

Other Western Asset Total Return ETF Analyses