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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6274	4.56***
α ARCH Response to squared shocks	0.0992	4.73***
β GARCH Volatility persistence	0.8199	19.62***

γ₁	-0.0384	-0.45
γ₂	0.0161	0.13
γ₃	0.0639	0.93
γ₄	-0.0773	-1.64
γ₅	0.0093	0.19
γ₆	0.1206	2.79***
γ₇	-0.1906	-5.16***
γ₈	0.1349	5.05***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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