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

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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 Thursday, December 4th, 2025:65.81% (+3.42%)

Analysis last updated: Thursday, December 4, 2025 at 10:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7482	7.38
$α$	0.1167	6.70
$β$	0.6910	16.17
$γ_{1}$	-0.0044	-0.11
$γ_{2}$	0.0394	0.69
$γ_{3}$	-0.0785	-2.09
$γ_{4}$	0.0521	1.34
$γ_{5}$	-0.0008	-0.02
$γ_{6}$	-0.0053	-0.14
$γ_{7}$	-0.0448	-1.16
$γ_{8}$	0.1317	3.47
$γ_{9}$	-0.1690	-4.03
$γ_{10}$	0.1044	3.20

Estimation Period:
Jan 2, 1990 to Nov 28, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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