V-Lab
ICE BofAML U.S. Bond Market Option Volatility Estimate Index AGARCH Volatility Analysis
Volatility Prediction for Thursday, April 25th, 2024:59.98% (-1.90%)
Analysis last updated: Thursday, April 25, 2024 at 09:12 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.9761 | 16.70 | |
| 0.0950 | 36.47 | |
| 0.8264 | 195.33 | |
| -2.0075 | -16.00 |
Estimation Period:
Jan 2, 1990 to Apr 19, 2024
Jan 2, 1990 to Apr 19, 2024
News Impact Curve
Volatility Forecasts
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