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

V-Lab

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

Volatility Prediction for Monday, July 14th, 2025:64.77% (+4.85%)

Analysis last updated: Saturday, July 12, 2025 at 09:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.1326	20.95
$α$	0.1442	26.07
$β$	0.9555	454.33
$γ$	0.0632	11.61

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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MF2-GARCH