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 Friday, August 29th, 2025:60.56% (-1.23%)

Analysis last updated: Friday, August 29, 2025 at 09:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7563	7.41
$α$	0.1181	6.69
$β$	0.6921	16.18
$γ_{1}$	-0.0045	-0.11
$γ_{2}$	0.0426	0.73
$γ_{3}$	-0.0855	-2.21
$γ_{4}$	0.0590	1.45
$γ_{5}$	-0.0055	-0.14
$γ_{6}$	-0.0023	-0.06
$γ_{7}$	-0.0469	-1.18
$γ_{8}$	0.1307	3.33
$γ_{9}$	-0.1598	-3.63
$γ_{10}$	0.0921	2.74

Estimation Period:
Jan 2, 1990 to Aug 22, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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