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 Tuesday, January 21st, 2025:66.67% (-0.76%)

Analysis last updated: Saturday, January 18, 2025 at 11:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8546	21.07
$α$	0.1062	23.34
$β$	0.8753	200.47
$γ$	-0.0655	-9.76

Estimation Period:
Jan 2, 1990 to Jan 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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