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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8147	21.81***
α ARCH Response to squared shocks	0.1040	24.01***
β GARCH Volatility persistence	0.8802	221.21***
γ leverage Additional response to negative shocks	-0.0653	-10.15***

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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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