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 Thursday, May 8th, 2025:75.32% (+4.99%)

Analysis last updated: Thursday, May 8, 2025 at 01:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7740	7.54
$α$	0.1185	6.73
$β$	0.6985	16.79
$γ_{1}$	-0.0026	-0.06
$γ_{2}$	0.0410	0.69
$γ_{3}$	-0.0834	-2.06
$γ_{4}$	0.0527	1.22
$γ_{5}$	0.0012	0.03
$γ_{6}$	-0.0063	-0.15
$γ_{7}$	-0.0446	-1.08
$γ_{8}$	0.1232	2.99
$γ_{9}$	-0.1403	-3.00
$γ_{10}$	0.0709	2.03

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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