ICE BofAML U.S. Bond Market Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility Prediction for Tuesday, November 11th, 2025:65.08% (+5.36%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.8543 | 21.15 | |
| 0.1054 | 23.40 | |
| 0.8760 | 202.21 | |
| -0.0659 | -9.91 |
Estimation Period:
Jan 2, 1990 to Nov 7, 2025
Jan 2, 1990 to Nov 7, 2025
News Impact Curve
Volatility Forecasts
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