ICE BofAML U.S. Bond Market Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 6th, 2026
1 Day
64.05%
decreased by 0.61%
1 Week
64.14%
decreased by 0.52%
1 Month
64.42%
decreased by 0.24%
Analysis last updated: Friday, July 3, 2026 at 10:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.8170 | 21.79 | |
| 0.1041 | 23.98 | |
| 0.8799 | 220.14 | |
| -0.0653 | -10.14 |
Estimation Period:
Jan 2, 1990 to Jul 2, 2026
Jan 2, 1990 to Jul 2, 2026
Other ICE BofAML U.S. Bond Market Option Volatility Estimate Index Analyses
Other GJR-GARCH Analyses on Volatility Indices