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

V-Lab

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

Volatility Prediction for Monday, July 7th, 2025:60.44% (+3.82%)

Analysis last updated: Friday, July 4, 2025 at 09:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7026	18.85
$α$	0.0697	29.31
$β$	0.8902	223.50

Estimation Period:
Jan 2, 1990 to Jul 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other ICE BofAML U.S. Bond Market Option Volatility Estimate Index Analyses
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EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T
MF2-GARCH