iTraxx/CBOE Europe Crossover 6-Month Volatility Index (BP Volatility) EGARCH Volatility Analysis
Volatility Prediction for Friday, February 13th, 2026:61.63% (+4.59%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.1751 | 9.64 | |
| 0.1553 | 16.15 | |
| 0.9402 | 160.77 | |
| 0.1002 | 9.80 |
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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