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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2626	22.72***
α ARCH Response to squared shocks	0.2197	21.85***
β GARCH Volatility persistence	0.8005	133.54***
γ leverage Additional response to negative shocks	-0.1171	-8.27***

V-Lab

ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index GJR-GARCH 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