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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7523	7.30***
α ARCH Response to squared shocks	0.1102	7.19***
β GARCH Volatility persistence	0.7243	20.08***

γ₁	0.0018	0.05
γ₂	0.0284	0.51
γ₃	-0.0717	-2.02**
γ₄	0.0519	1.45
γ₅	-0.0040	-0.11
γ₆	-0.0075	-0.22
γ₇	-0.0303	-0.83
γ₈	0.1105	3.05***
γ₉	-0.1547	-3.99***
γ₁₀	0.0999	3.16***

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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