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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	6.4566	4.56***
α ARCH Response to squared shocks	0.1183	28.13***
β GARCH Volatility persistence	0.9740	175.36***
ν DF Student-t tail thickness	3.9513	12.59***

V-Lab

ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index Analyses