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 Thursday, May 8th, 2025:67.60% (+1.86%)

Analysis last updated: Thursday, May 8, 2025 at 01:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1746	32.82
$β$	0.7040	70.06
$γ$	-0.1134	-12.55
$λ_{1}$	0.0556	1.79
$λ_{2}$	0.0114	3.17
$λ_{3}$	0.9854	201.31

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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