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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 Thursday, October 23rd, 2025:64.53% (-2.30%)
Analysis last updated: Thursday, October 23, 2025 at 09:13 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
ω0.74327.29
α0.11326.65
β0.701316.93
γ1-0.0080-0.20
γ20.04640.80
γ3-0.0854-2.25
γ40.05881.49
γ5-0.0055-0.14
γ6-0.0036-0.09
γ7-0.0445-1.14
γ80.12943.36
γ9-0.1629-3.79
γ100.09772.94
Estimation Period:
Jan 2, 1990 to Oct 17, 2025
Impact of return on volatility tomorrow
Volatility Forecasts