V-Lab

ICE BofAML U.S. Bond Market Option Volatility Estimate Index Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Tuesday, July 29th, 2025:63.86% (-1.55%)
Analysis last updated: Tuesday, July 29, 2025 at 09:15 PM UTC
Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of ICE BofAML U.S. Bond Market Option Volatility Estimate Index S0GARCH
paramt-stat
ω0.77337.51
α0.11666.81
β0.704617.54
γ1-0.0012-0.03
γ20.03840.65
γ3-0.0813-2.05
γ40.05121.23
γ50.00220.05
γ6-0.0061-0.15
γ7-0.0473-1.16
γ80.13173.26
γ9-0.1577-3.48
γ100.08832.56
Estimation Period:
Jan 2, 1990 to Jul 25, 2025
Impact of return on volatility tomorrow
Volatility Forecasts