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 Tuesday, September 16th, 2025:63.44% (+5.37%)

Analysis last updated: Tuesday, September 16, 2025 at 09:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2624	15.04
$α$	0.0821	24.40
$β$	0.8872	216.03
$γ$	-0.4206	-10.48
$δ$	1.1774	31.62

Estimation Period:
Jan 2, 1990 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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