V-Lab
ICE BofAML U.S. Bond Market Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility Prediction for Tuesday, March 11th, 2025:77.43% (+7.36%)
Analysis last updated: Tuesday, March 11, 2025 at 09:16 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.8507 | 21.08 | |
| 0.1055 | 23.32 | |
| 0.8759 | 201.63 | |
| -0.0650 | -9.72 |
Estimation Period:
Jan 2, 1990 to Mar 7, 2025
Jan 2, 1990 to Mar 7, 2025
News Impact Curve
Volatility Forecasts
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