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 Monday, May 12th, 2025:58.74% (-2.05%)

Analysis last updated: Saturday, May 10, 2025 at 09:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0123	17.32
$α$	0.0945	37.08
$β$	0.8250	196.28
$γ$	-2.0273	-16.39

Estimation Period:
Jan 2, 1990 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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MF2-GARCH