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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7551	7.52***
α ARCH Response to squared shocks	0.1129	7.01***
β GARCH Volatility persistence	0.7074	18.29***

γ₁	-0.0041	-0.11
γ₂	0.0435	0.79
γ₃	-0.0918	-2.61***
γ₄	0.0722	2.02**
γ₅	-0.0204	-0.57
γ₆	0.0060	0.17
γ₇	-0.0458	-1.25
γ₈	0.1336	3.54***
γ₉	-0.1953	-4.18***
γ₁₀	0.2009	2.93***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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