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

V-Lab

ICE BofAML U.S. Bond Market Option Volatility Estimate Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:63.73% (-1.99%)

Analysis last updated: Saturday, May 31, 2025 at 10:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7605	7.39
$α$	0.1181	6.70
$β$	0.6968	16.57
$γ_{1}$	-0.0040	-0.10
$γ_{2}$	0.0417	0.70
$γ_{3}$	-0.0826	-2.06
$γ_{4}$	0.0528	1.25
$γ_{5}$	0.0009	0.02
$γ_{6}$	-0.0058	-0.14
$γ_{7}$	-0.0459	-1.13
$γ_{8}$	0.1264	3.11
$γ_{9}$	-0.1465	-3.19
$γ_{10}$	0.0772	2.23

Estimation Period:
Jan 2, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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