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 Monday, October 13th, 2025:79.31% (+18.29%)

Analysis last updated: Saturday, October 11, 2025 at 11:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7626	7.47
$α$	0.1175	6.74
$β$	0.6937	16.46
$γ_{1}$	0.0013	0.03
$γ_{2}$	0.0337	0.58
$γ_{3}$	-0.0816	-2.15
$γ_{4}$	0.0590	1.49
$γ_{5}$	-0.0070	-0.18
$γ_{6}$	-0.0020	-0.05
$γ_{7}$	-0.0459	-1.18
$γ_{8}$	0.1311	3.40
$γ_{9}$	-0.1653	-3.85
$γ_{10}$	0.0995	2.99

Estimation Period:
Jan 2, 1990 to Oct 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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