iTraxx/CBOE Europe Main 1-Month Volatility Index (BP Volatility) GJR-GARCH Volatility Analysis
Volatility Prediction for Wednesday, February 11th, 2026:97.45% (-6.72%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 5.0000 | 22.57 | |
| 0.2064 | 15.11 | |
| 0.7564 | 89.44 | |
| -0.1819 | -12.09 |
Estimation Period:
Mar 5, 2012 to Feb 6, 2026
Mar 5, 2012 to Feb 6, 2026
News Impact Curve
Volatility Forecasts
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