V-Lab: ICE BofAML U.S. Bond Market Option Volatility Estimate Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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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 Tuesday, January 21st, 2025:81.42% (-2.87%)

Analysis last updated: Saturday, January 18, 2025 at 11:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8244	10.21
$α$	0.1145	7.05
$β$	0.7239	20.27
$γ_{1}$	0.0309	2.67
$γ_{2}$	-0.0537	-3.06
$γ_{3}$	0.0351	2.96
$γ_{4}$	-0.0259	-2.45
$γ_{5}$	0.0334	3.51
$γ_{6}$	-0.0314	-4.52

Estimation Period:
Jan 2, 1990 to Jan 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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