V-Lab
ICE BofAML U.S. Bond Market Option Volatility Estimate Index Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Wednesday, May 1st, 2024:70.84% (-0.85%)
Analysis last updated: Wednesday, May 1, 2024 at 09:45 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.8276 | 10.01 | |
| 0.1148 | 7.01 | |
| 0.7290 | 20.83 | |
| 0.0326 | 2.63 | |
| -0.0563 | -3.01 | |
| 0.0366 | 2.86 | |
| -0.0280 | -2.40 | |
| 0.0366 | 3.39 | |
| -0.0337 | -4.06 |
Estimation Period:
Jan 2, 1990 to Apr 26, 2024
Jan 2, 1990 to Apr 26, 2024
News Impact Curve
Volatility Forecasts
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