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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1659	33.00***
β GARCH Volatility persistence	0.7258	74.23***
γ leverage Additional response to negative shocks	-0.1107	-12.83***
λ₁ tau intercept Baseline long-term coefficient	0.0577	1.88*
λ₂ forecast adj. Forecast performance sensitivity	0.0120	3.31***
λ₃ tau persistence Long-term factor persistence	0.9848	200.66***

V-Lab

ICE BofAML U.S. Bond Market Option Volatility Estimate Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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