ICE BofAML U.S. Bond Market Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
71.71%
decreased by 3.04%
1 Week
71.13%
decreased by 3.62%
1 Month
69.40%
decreased by 5.35%
Analysis last updated: Saturday, October 17, 2026 at 12:05 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 Oct 16, 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 | 0.8195 | 5.48*** |
| αARCH | 0.1036 | 6.04*** |
| βGARCH | 0.8801 | 55.33*** |
| γleverage | -0.0647 | -2.53** |
0.951
Persistence14d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8195 | 5.48*** |
α ARCH Response to squared shocks | 0.1036 | 6.04*** |
β GARCH Volatility persistence | 0.8801 | 55.33*** |
γ leverage Additional response to negative shocks | -0.0647 | -2.53** |
Persistence:
0.951
Half-life:
14 days
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