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ICE BofAML U.S. Bond Market Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility Prediction for Thursday, November 20th, 2025:57.78% (-1.46%)
Analysis last updated: Thursday, November 20, 2025 at 10:22 PM UTC
Date Range:

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graph of ICE BofAML U.S. Bond Market Option Volatility Estimate Index GJR-GARCH
paramt-stat
ω0.852921.15
α0.105323.40
β0.8761202.53
γ-0.0657-9.90
Estimation Period:
Jan 2, 1990 to Nov 14, 2025
Impact of return on volatility tomorrow
Volatility Forecasts