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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2232	20.95***
β GARCH Volatility persistence	0.6467	25.50***
γ leverage Additional response to negative shocks	-0.1721	-12.51***
λ₁ tau intercept Baseline long-term coefficient	0.3182	1.59
λ₂ forecast adj. Forecast performance sensitivity	0.0657	1.48
λ₃ tau persistence Long-term factor persistence	0.8944	14.05***

V-Lab

ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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