V-Lab: ICE BofAML U.S. Bond Market Option Volatility Estimate Index GJR-GARCH Volatility Analysis

V-Lab

ICE BofAML U.S. Bond Market Option Volatility Estimate Index GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, June 30th, 2025:57.59% (-1.64%)

Analysis last updated: Saturday, June 28, 2025 at 09:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8618	21.14
$α$	0.1067	23.42
$β$	0.8748	200.13
$γ$	-0.0665	-9.92

Estimation Period:
Jan 2, 1990 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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