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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7520	7.31***
α ARCH Response to squared shocks	0.1105	7.17***
β GARCH Volatility persistence	0.7233	19.91***

γ₁	0.0006	0.01
γ₂	0.0305	0.55
γ₃	-0.0729	-2.04**
γ₄	0.0519	1.43
γ₅	-0.0034	-0.10
γ₆	-0.0074	-0.21
γ₇	-0.0322	-0.87
γ₈	0.1134	3.10***
γ₉	-0.1562	-3.96***
γ₁₀	0.0997	3.10***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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