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 Monday, June 30th, 2025:59.55% (-1.87%)

Analysis last updated: Saturday, June 28, 2025 at 09:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1738	32.79
$β$	0.7052	70.25
$γ$	-0.1131	-12.54
$λ_{1}$	0.0567	1.80
$λ_{2}$	0.0114	3.14
$λ_{3}$	0.9854	198.98

Estimation Period:
Jan 2, 1990 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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