ICE BofAML U.S. Bond Market Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility Prediction for Tuesday, October 21st, 2025:72.81% (-3.16%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.8567 | 21.17 | |
| 0.1059 | 23.41 | |
| 0.8756 | 201.80 | |
| -0.0661 | -9.92 |
Estimation Period:
Jan 2, 1990 to Oct 17, 2025
Jan 2, 1990 to Oct 17, 2025
News Impact Curve
Volatility Forecasts
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