iTraxx/CBOE Europe Crossover 3-Month Volatility Index (BP Volatility) EGARCH Volatility Analysis
Volatility Prediction for Wednesday, February 11th, 2026:67.86% (-3.40%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.1964 | 10.72 | |
| 0.1386 | 19.55 | |
| 0.9382 | 159.10 | |
| 0.1069 | 15.97 |
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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