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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3995	20.95***
α ARCH Response to squared shocks	0.1428	15.69***
β GARCH Volatility persistence	0.8556	150.53***
γ leverage Additional response to negative shocks	-0.0992	-8.30***

V-Lab

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

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index Analyses