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 Thursday, July 17th, 2025:65.12% (-3.07%)

Analysis last updated: Thursday, July 17, 2025 at 09:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2620	15.05
$α$	0.0826	24.52
$β$	0.8867	215.36
$γ$	-0.4203	-10.53
$δ$	1.1720	31.47

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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