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, July 17th, 2025:64.39% (-4.16%)

Analysis last updated: Thursday, July 17, 2025 at 09:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1737	32.78
$β$	0.7053	70.27
$γ$	-0.1131	-12.56
$λ_{1}$	0.0568	1.80
$λ_{2}$	0.0114	3.14
$λ_{3}$	0.9854	198.66

Estimation Period:
Jan 2, 1990 to Jul 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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