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

V-Lab

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

Volatility Prediction for Monday, June 2nd, 2025:54.66% (-1.59%)

Analysis last updated: Saturday, May 31, 2025 at 10:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8669	21.13
$α$	0.1073	23.43
$β$	0.8741	198.89
$γ$	-0.0669	-9.95

Estimation Period:
Jan 2, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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