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

V-Lab

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V-Lab

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

Volatility Prediction for Monday, March 10th, 2025:70.07% (-1.69%)

Analysis last updated: Sunday, March 9, 2025 at 12:36 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8507	21.08
$α$	0.1055	23.32
$β$	0.8759	201.63
$γ$	-0.0650	-9.72

Estimation Period:
Jan 2, 1990 to Mar 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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