ICE BofAML U.S. Bond Market Option Volatility Estimate Index Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Thursday, October 23rd, 2025:64.53% (-2.30%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.7432 | 7.29 | |
| 0.1132 | 6.65 | |
| 0.7013 | 16.93 | |
| -0.0080 | -0.20 | |
| 0.0464 | 0.80 | |
| -0.0854 | -2.25 | |
| 0.0588 | 1.49 | |
| -0.0055 | -0.14 | |
| -0.0036 | -0.09 | |
| -0.0445 | -1.14 | |
| 0.1294 | 3.36 | |
| -0.1629 | -3.79 | |
| 0.0977 | 2.94 |
Estimation Period:
Jan 2, 1990 to Oct 17, 2025
Jan 2, 1990 to Oct 17, 2025
News Impact Curve
Volatility Forecasts
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