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 Monday, May 19th, 2025:62.89% (-0.44%)

Analysis last updated: Saturday, May 17, 2025 at 10:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7721	7.38
$α$	0.1199	6.87
$β$	0.7016	17.37
$γ_{1}$	-0.0010	-0.02
$γ_{2}$	0.0394	0.65
$γ_{3}$	-0.0842	-2.05
$γ_{4}$	0.0532	1.23
$γ_{5}$	0.0024	0.06
$γ_{6}$	-0.0075	-0.18
$γ_{7}$	-0.0452	-1.08
$γ_{8}$	0.1265	3.03
$γ_{9}$	-0.1459	-3.09
$γ_{10}$	0.0757	2.14

Estimation Period:
Jan 2, 1990 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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