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{name} Model Equation

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Param	Value	t-stat
ωconst	2.2927	4.64***
αARCH	0.1685	5.03***
βGARCH	0.7370	18.96***

γ₁	0.2224	2.39**
γ₂	-0.3593	-2.61***
γ₃	0.2879	3.56***
γ₄	-0.2038	-2.68***
γ₅	0.0105	0.13
γ₆	0.0739	1.28

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2927	4.64***
α ARCH Response to squared shocks	0.1685	5.03***
β GARCH Volatility persistence	0.7370	18.96***

γ₁	0.2224	2.39**
γ₂	-0.3593	-2.61***
γ₃	0.2879	3.56***
γ₄	-0.2038	-2.68***
γ₅	0.0105	0.13
γ₆	0.0739	1.28

V-Lab

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