V-Lab
ICE BofAML U.S. Bond Market Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility Prediction for Monday, October 7th, 2024:64.11% (-2.51%)
Analysis last updated: Saturday, October 5, 2024 at 11:07 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.8462 | 20.90 | |
| 0.1062 | 23.26 | |
| 0.8756 | 198.85 | |
| -0.0657 | -9.70 |
Estimation Period:
Jan 2, 1990 to Oct 4, 2024
Jan 2, 1990 to Oct 4, 2024
News Impact Curve
Volatility Forecasts
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