V-Lab: ICE BofAML U.S. Bond Market Option Volatility Estimate Index MF2-GARCH Volatility Analysis

V-Lab

ICE BofAML U.S. Bond Market Option Volatility Estimate Index MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 29th, 2025:59.32% (-0.76%)

Analysis last updated: Tuesday, July 29, 2025 at 09:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1736	32.77
$β$	0.7055	70.24
$γ$	-0.1130	-12.54
$λ_{1}$	0.0572	1.80
$λ_{2}$	0.0114	3.13
$λ_{3}$	0.9853	197.58

Estimation Period:
Jan 2, 1990 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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