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 Monday, March 10th, 2025:79.49% (-0.13%)

Analysis last updated: Sunday, March 9, 2025 at 12:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8231	10.21
$α$	0.1137	7.07
$β$	0.7260	20.52
$γ_{1}$	0.0304	2.65
$γ_{2}$	-0.0530	-3.05
$γ_{3}$	0.0346	2.94
$γ_{4}$	-0.0252	-2.41
$γ_{5}$	0.0323	3.46
$γ_{6}$	-0.0304	-4.51

Estimation Period:
Jan 2, 1990 to Mar 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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