iTraxx/CBOE Europe Main 6-Month Volatility Index (BP Volatility) GJR-GARCH Volatility Analysis
Volatility Prediction for Tuesday, February 10th, 2026:69.19% (-5.13%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 1.3322 | 21.06 | |
| 0.2202 | 16.65 | |
| 0.7944 | 124.17 | |
| -0.1627 | -10.09 |
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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