ICE BofAML U.S. Bond Market Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, June 9th, 2026
1 Day
67.39%
decreased by 1.64%
1 Week
67.18%
decreased by 1.85%
1 Month
66.55%
decreased by 2.48%
Analysis last updated: Tuesday, June 9, 2026 at 04:03 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.8185 | 21.76 | |
| 0.1043 | 23.99 | |
| 0.8797 | 219.31 | |
| -0.0655 | -10.15 |
Estimation Period:
Jan 2, 1990 to Jun 5, 2026
Jan 2, 1990 to Jun 5, 2026
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