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

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V-Lab

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

Volatility Prediction for Monday, November 24th, 2025:59.95% (-3.01%)

Analysis last updated: Sunday, November 23, 2025 at 01:08 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1715	32.68
$β$	0.7077	70.38
$γ$	-0.1121	-12.51
$λ_{1}$	0.0583	1.80
$λ_{2}$	0.0115	3.10
$λ_{3}$	0.9851	193.58

Estimation Period:
Jan 2, 1990 to Nov 21, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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