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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8158	21.82***
α ARCH Response to squared shocks	0.1043	24.04***
β GARCH Volatility persistence	0.8800	220.99***
γ leverage Additional response to negative shocks	-0.0654	-10.16***

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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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