ICE BofAML U.S. Bond Market Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, November 10th, 2026
1 Day
71.04%
increased by 1.35%
1 Week
70.52%
increased by 0.83%
1 Month
68.98%
decreased by 0.71%
Analysis last updated: Tuesday, November 10, 2026 at 05:02 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Nov 6, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 166% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
GJR-GARCH Model
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Inverse leverage: Positive returns increase volatility 166% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8012 | 5.50*** |
| αARCH | 0.1020 | 6.03*** |
| βGARCH | 0.8822 | 56.81*** |
| γleverage | -0.0636 | -2.51** |
0.952
Persistence14d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8012 | 5.50*** |
α ARCH Response to squared shocks | 0.1020 | 6.03*** |
β GARCH Volatility persistence | 0.8822 | 56.81*** |
γ leverage Additional response to negative shocks | -0.0636 | -2.51** |
Persistence:
0.952
Half-life:
14 days
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