V-Lab: ICE BofAML U.S. Bond Market Option Volatility Estimate Index MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

ICE BofAML U.S. Bond Market Option Volatility Estimate Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:59.68% (+1.14%)

Analysis last updated: Saturday, May 4, 2024 at 09:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1766	32.25
$β$	0.7040	68.89
$γ$	-0.1149	-12.48
$λ_{1}$	0.0612	1.82
$λ_{2}$	0.0119	3.13
$λ_{3}$	0.9846	187.98

Estimation Period:
Jan 2, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other ICE BofAML U.S. Bond Market Option Volatility Estimate Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T