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 Monday, September 15th, 2025:67.42% (-2.01%)

Analysis last updated: Saturday, September 13, 2025 at 09:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	17.5882	10.39
$α$	0.0752	21.67
$β$	0.9470	176.29
$ν$	4.0405	8.66

Estimation Period:
Jan 2, 1990 to Sep 12, 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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Zero Slope Spline-GARCH
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