ICE BofAML U.S. Bond Market Option Volatility Estimate Index EGARCH Volatility Analysis
Volatility prediction for Thursday, October 15th, 2026
1 Day
76.82%
decreased by 3.59%
1 Week
76.34%
decreased by 4.07%
1 Month
74.89%
decreased by 5.52%
Analysis last updated: Thursday, October 15, 2026 at 04:03 AM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 9, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 168% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
Tap to view equation
Inverse leverage: Positive returns increase volatility 168% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1238 | 5.24*** |
| αARCH | 0.1393 | 6.61*** |
| βGARCH | 0.9587 | 124.25*** |
| γleverage | 0.0635 | 3.03*** |
0.959
Persistence16d
Half-lifeσ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1238 | 5.24*** |
α ARCH Response to squared shocks | 0.1393 | 6.61*** |
β GARCH Volatility persistence | 0.9587 | 124.25*** |
γ leverage Additional response to negative shocks | 0.0635 | 3.03*** |
Persistence:
0.959
Half-life:
16 days
Other ICE BofAML U.S. Bond Market Option Volatility Estimate Index Analyses
Other EGARCH Analyses on Volatility Indices