iTraxx/CBOE Europe Crossover 1-Month Volatility Index (BP Volatility) EGARCH Volatility Analysis
Volatility Prediction for Tuesday, February 10th, 2026:104.54% (-5.20%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.2220 | 11.06 | |
| 0.1573 | 21.53 | |
| 0.9410 | 193.30 | |
| 0.1049 | 14.59 |
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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