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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8109	21.84***
α ARCH Response to squared shocks	0.1035	24.01***
β GARCH Volatility persistence	0.8807	222.34***
γ leverage Additional response to negative shocks	-0.0649	-10.13***

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ICE BofAML U.S. Bond Market Option Volatility Estimate Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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