V-Lab
ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index GARCH Volatility Analysis
Volatility Prediction for Friday, April 26th, 2024:36.06% (+3.80%)
Analysis last updated: Saturday, April 27, 2024 at 05:20 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.3156 | 21.28 | |
| 0.1928 | 24.83 | |
| 0.7709 | 102.88 |
Estimation Period:
Feb 26, 2008 to Mar 28, 2024
Feb 26, 2008 to Mar 28, 2024
News Impact Curve
Volatility Forecasts
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