ICE BofAML U.S. Bond Market Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility Prediction for Monday, October 13th, 2025:73.57% (+17.99%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.8541 | 21.16 | |
| 0.1056 | 23.39 | |
| 0.8759 | 202.25 | |
| -0.0659 | -9.91 |
Estimation Period:
Jan 2, 1990 to Oct 10, 2025
Jan 2, 1990 to Oct 10, 2025
News Impact Curve
Volatility Forecasts
Other ICE BofAML U.S. Bond Market Option Volatility Estimate Index Analyses
Other GJR-GARCH Analyses on Volatility Indices