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, November 3rd, 2025:54.23% (-1.61%)

Analysis last updated: Saturday, November 1, 2025 at 09:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1723	32.75
$β$	0.7068	70.28
$γ$	-0.1125	-12.55
$λ_{1}$	0.0584	1.80
$λ_{2}$	0.0115	3.10
$λ_{3}$	0.9851	193.73

Estimation Period:
Jan 2, 1990 to Oct 31, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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