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 Monday, June 30th, 2025:63.51% (-1.37%)

Analysis last updated: Saturday, June 28, 2025 at 09:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7684	7.43
$α$	0.1177	6.78
$β$	0.7008	17.10
$γ_{1}$	-0.0007	-0.02
$γ_{2}$	0.0381	0.64
$γ_{3}$	-0.0836	-2.09
$γ_{4}$	0.0553	1.31
$γ_{5}$	-0.0015	-0.03
$γ_{6}$	-0.0038	-0.09
$γ_{7}$	-0.0482	-1.18
$γ_{8}$	0.1308	3.23
$γ_{9}$	-0.1539	-3.37
$γ_{10}$	0.0840	2.43

Estimation Period:
Jan 2, 1990 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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