CBOE Interest Rate Swap Volatility Index GJR-GARCH Volatility Analysis
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Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0889 | 10.20 | |
| 0.2325 | 12.66 | |
| 0.7873 | 72.32 | |
| -0.1568 | -6.98 |
Estimation Period:
Jun 18, 2012 to Feb 11, 2022
Jun 18, 2012 to Feb 11, 2022
News Impact Curve
Volatility Forecasts
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