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

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V-Lab

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

Volatility Prediction for Friday, November 14th, 2025:65.39% (-1.71%)

Analysis last updated: Friday, November 14, 2025 at 09:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7687	7.50
$α$	0.1182	6.86
$β$	0.6981	17.13
$γ_{1}$	-0.0018	-0.04
$γ_{2}$	0.0393	0.68
$γ_{3}$	-0.0837	-2.18
$γ_{4}$	0.0554	1.39
$γ_{5}$	-0.0006	-0.02
$γ_{6}$	-0.0069	-0.18
$γ_{7}$	-0.0450	-1.14
$γ_{8}$	0.1348	3.46
$γ_{9}$	-0.1724	-4.02
$γ_{10}$	0.1053	3.19

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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