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, December 15th, 2025:64.29% (-5.06%)

Analysis last updated: Saturday, December 13, 2025 at 10:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1719	32.79
$β$	0.7074	70.42
$γ$	-0.1127	-12.63
$λ_{1}$	0.0580	1.80
$λ_{2}$	0.0115	3.10
$λ_{3}$	0.9852	194.66

Estimation Period:
Jan 2, 1990 to Dec 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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