V-Lab

ICE BofAML U.S. Bond Market Option Volatility Estimate Index Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Tuesday, July 1st, 2025:63.27% (-0.08%)
Analysis last updated: Tuesday, July 1, 2025 at 09:16 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
ω0.76847.43
α0.11776.78
β0.700817.10
γ1-0.0007-0.02
γ20.03810.64
γ3-0.0836-2.09
γ40.05531.31
γ5-0.0015-0.03
γ6-0.0038-0.09
γ7-0.0482-1.18
γ80.13083.23
γ9-0.1539-3.37
γ100.08402.43
Estimation Period:
Jan 2, 1990 to Jun 27, 2025
Impact of return on volatility tomorrow
Volatility Forecasts