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 Tuesday, July 29th, 2025:63.86% (-1.55%)

Analysis last updated: Tuesday, July 29, 2025 at 09:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7733	7.51
$α$	0.1166	6.81
$β$	0.7046	17.54
$γ_{1}$	-0.0012	-0.03
$γ_{2}$	0.0384	0.65
$γ_{3}$	-0.0813	-2.05
$γ_{4}$	0.0512	1.23
$γ_{5}$	0.0022	0.05
$γ_{6}$	-0.0061	-0.15
$γ_{7}$	-0.0473	-1.16
$γ_{8}$	0.1317	3.26
$γ_{9}$	-0.1577	-3.48
$γ_{10}$	0.0883	2.56

Estimation Period:
Jan 2, 1990 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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