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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3766	15.06***
α ARCH Response to squared shocks	0.0942	23.40***
β GARCH Volatility persistence	0.8600	146.64***

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

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News Impact Curve

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Parameter Estimates

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