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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0006	13.98***
α ARCH Response to squared shocks	0.0385	19.76***
β GARCH Volatility persistence	0.9512	581.44***
γ leverage Additional response to negative shocks	0.0115	2.88***

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Bloomberg Global Aggregate Credit Bond Index Total Return Value Unhedged USD GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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