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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1119	18.97***
α ARCH Response to squared shocks	0.1970	17.48***
β GARCH Volatility persistence	0.9509	360.75***
γ leverage Additional response to negative shocks	0.0781	7.88***

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ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index EGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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