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

V-Lab

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V-Lab

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

Volatility Prediction for Monday, March 10th, 2025:70.03% (-2.96%)

Analysis last updated: Sunday, March 9, 2025 at 12:39 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1745	32.56
$β$	0.7022	69.18
$γ$	-0.1128	-12.39
$λ_{1}$	0.0566	1.77
$λ_{2}$	0.0115	3.13
$λ_{3}$	0.9853	197.42

Estimation Period:
Jan 2, 1990 to Mar 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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