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

V-Lab

ICE BofAML U.S. Bond Market Option Volatility Estimate Index GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Thursday, July 17th, 2025:68.91% (-5.23%)

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
$ω$	17.6467	10.23
$α$	0.0755	21.51
$β$	0.9468	173.22
$ν$	4.0193	8.64

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

Other ICE BofAML U.S. Bond Market Option Volatility Estimate Index Analyses
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GJR-GARCH
EGARCH
APARCH
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Spline-GARCH
Zero Slope Spline-GARCH
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