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

V-Lab

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V-Lab

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

Volatility Prediction for Monday, March 10th, 2025:76.75% (+1.80%)

Analysis last updated: Sunday, March 9, 2025 at 12:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	17.6516	10.08
$α$	0.0757	21.09
$β$	0.9458	168.28
$ν$	4	8.59

Estimation Period:
Jan 2, 1990 to Mar 7, 2025

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