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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1164	20.64***
α ARCH Response to squared shocks	0.2894	25.84***
β GARCH Volatility persistence	0.9370	295.58***
γ leverage Additional response to negative shocks	0.0693	7.07***

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

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News Impact Curve

Volatility Forecast

Parameter Estimates

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