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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.1256	4.96***
α ARCH Response to squared shocks	0.1809	4.77***
β GARCH Volatility persistence	0.6811	15.10***

γ₁	0.1884	1.59
γ₂	-0.1264	-0.68
γ₃	-0.2748	-1.48
γ₄	0.5336	2.83***
γ₅	-0.5024	-2.92***
γ₆	0.3000	1.77*
γ₇	-0.4144	-2.58***
γ₈	0.8995	4.41***

V-Lab

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