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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7509	7.29***
α ARCH Response to squared shocks	0.1109	7.15***
β GARCH Volatility persistence	0.7219	19.72***

γ₁	0.0007	0.02
γ₂	0.0303	0.54
γ₃	-0.0727	-2.03**
γ₄	0.0518	1.42
γ₅	-0.0034	-0.09
γ₆	-0.0070	-0.20
γ₇	-0.0334	-0.90
γ₈	0.1152	3.14***
γ₉	-0.1578	-3.98***
γ₁₀	0.1006	3.12***

V-Lab

ICE BofAML U.S. Bond Market Option Volatility Estimate Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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