V-Lab

ICE BofAML U.S. Bond Market Option Volatility Estimate Index Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Monday, June 2nd, 2025:63.73% (-1.99%)
Analysis last updated: Saturday, May 31, 2025 at 10:06 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
ω0.76057.39
α0.11816.70
β0.696816.57
γ1-0.0040-0.10
γ20.04170.70
γ3-0.0826-2.06
γ40.05281.25
γ50.00090.02
γ6-0.0058-0.14
γ7-0.0459-1.13
γ80.12643.11
γ9-0.1465-3.19
γ100.07722.23
Estimation Period:
Jan 2, 1990 to May 30, 2025
Impact of return on volatility tomorrow
Volatility Forecasts