iTraxx/CBOE Europe Crossover 3-Month Volatility Index (BP Volatility) GAS-GARCH Student T Volatility Analysis
Volatility Prediction for Friday, February 13th, 2026:64.13% (+1.56%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 21.8853 | 14.23 | |
| 0.0891 | 14.30 | |
| 0.9022 | 148.97 | |
| 5.4155 | 3.53 |
Estimation Period:
Mar 5, 2012 to Feb 6, 2026
Mar 5, 2012 to Feb 6, 2026
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