V-Lab: ICE BofAML U.S. Bond Market Option Volatility Estimate Index MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

ICE BofAML U.S. Bond Market Option Volatility Estimate Index MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:59.28% (-1.82%)

Analysis last updated: Thursday, May 9, 2024 at 09:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1766	32.25
$β$	0.7040	68.89
$γ$	-0.1149	-12.48
$λ_{1}$	0.0612	1.82
$λ_{2}$	0.0119	3.13
$λ_{3}$	0.9846	187.98

Estimation Period:
Jan 2, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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