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 2nd, 2025:59.22% (-1.58%)

Analysis last updated: Saturday, May 31, 2025 at 10:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1745	32.86
$β$	0.7045	70.19
$γ$	-0.1136	-12.59
$λ_{1}$	0.0562	1.79
$λ_{2}$	0.0114	3.16
$λ_{3}$	0.9854	200.62

Estimation Period:
Jan 2, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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