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 Friday, August 29th, 2025:54.37% (-1.36%)

Analysis last updated: Friday, August 29, 2025 at 09:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1732	32.74
$β$	0.7059	70.22
$γ$	-0.1129	-12.55
$λ_{1}$	0.0579	1.80
$λ_{2}$	0.0115	3.12
$λ_{3}$	0.9852	195.32

Estimation Period:
Jan 2, 1990 to Aug 22, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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