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V-Lab

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

Volatility prediction for Monday, August 17th, 2026

1 Day

75.23%

decreased by 2.72%

1 Week

74.67%

decreased by 3.28%

1 Month

72.88%

decreased by 5.07%

Analysis last updated: Saturday, August 15, 2026 at 12:09 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

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

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Aug 14, 2026

Model Insight

Volatility shocks decay with a half-life of 18 trading days, meaning a shock loses half its impact after approximately 18 days.

σ

GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.6649
19.40***
α

ARCH

Response to squared shocks

0.0686
30.51***
β

GARCH

Volatility persistence

0.8941
244.96***

Persistence:

0.963

Half-life:

18 days