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

V-Lab

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

Volatility Prediction for Wednesday, April 16th, 2025:89.26% (-1.25%)

Analysis last updated: Wednesday, April 16, 2025 at 09:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2574	15.01
$α$	0.0827	24.65
$β$	0.8872	216.76
$γ$	-0.4203	-10.55
$δ$	1.1649	31.33

Estimation Period:
Jan 2, 1990 to Apr 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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