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

V-Lab

ICE BofAML U.S. Bond Market Option Volatility Estimate Index AGARCH Volatility Analysis

Volatility Prediction for Thursday, July 10th, 2025:53.85% (-2.59%)

Analysis last updated: Thursday, July 10, 2025 at 09:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0057	17.29
$α$	0.0938	37.04
$β$	0.8260	197.47
$γ$	-2.0290	-16.36

Estimation Period:
Jan 2, 1990 to Jul 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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