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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2368	17.70***
α ARCH Response to squared shocks	0.1540	27.03***
β GARCH Volatility persistence	0.8067	128.91***
γ leverage Additional response to negative shocks	-0.4434	-6.38***

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ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index AGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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