ICE BofAML U.S. Bond Market Option Volatility Estimate Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, November 2nd, 2026
1 Day
73.67%
increased by 6.50%
1 Week
73.00%
increased by 5.83%
1 Month
71.94%
increased by 4.77%
Analysis last updated: Saturday, October 31, 2026 at 12:07 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 30, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 4 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7519 | 7.35*** |
| αARCH | 0.1108 | 7.21*** |
| βGARCH | 0.7214 | 19.90*** |
Spline Coefficients
K=10
| γ1 | 0.0030 | 0.08 |
| γ2 | 0.0259 | 0.47 |
| γ3 | -0.0696 | -2.00** |
| γ4 | 0.0514 | 1.48 |
| γ5 | -0.0043 | -0.12 |
| γ6 | -0.0094 | -0.29 |
| γ7 | -0.0236 | -0.66 |
| γ8 | 0.1002 | 2.84*** |
| γ9 | -0.1455 | -3.89*** |
| γ10 | 0.0950 | 3.05*** |
0.832
Persistence4d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7519 | 7.35*** |
α ARCH Response to squared shocks | 0.1108 | 7.21*** |
β GARCH Volatility persistence | 0.7214 | 19.90*** |
Spline Coefficients
K=10
| γ1 | 0.0030 | 0.08 |
| γ2 | 0.0259 | 0.47 |
| γ3 | -0.0696 | -2.00** |
| γ4 | 0.0514 | 1.48 |
| γ5 | -0.0043 | -0.12 |
| γ6 | -0.0094 | -0.29 |
| γ7 | -0.0236 | -0.66 |
| γ8 | 0.1002 | 2.84*** |
| γ9 | -0.1455 | -3.89*** |
| γ10 | 0.0950 | 3.05*** |
Persistence:
0.832
Half-life:
4 days
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