V-Lab
ICE BofAML U.S. Bond Market Option Volatility Estimate Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
70.82%
increased by 3.08%
1 Week
70.59%
increased by 2.85%
1 Month
70.23%
increased by 2.49%
Analysis last updated: Saturday, September 19, 2026 at 12:06 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 4 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7505 | 7.29*** |
| αARCH | 0.1103 | 7.20*** |
| βGARCH | 0.7243 | 20.11*** |
Spline Coefficients
K=10
| γ1 | 0.0012 | 0.03 |
| γ2 | 0.0288 | 0.52 |
| γ3 | -0.0713 | -2.03** |
| γ4 | 0.0518 | 1.46 |
| γ5 | -0.0042 | -0.12 |
| γ6 | -0.0081 | -0.24 |
| γ7 | -0.0281 | -0.78 |
| γ8 | 0.1075 | 3.00*** |
| γ9 | -0.1534 | -4.03*** |
| γ10 | 0.1006 | 3.23*** |
0.835
Persistence4d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7505 | 7.29*** |
α ARCH Response to squared shocks | 0.1103 | 7.20*** |
β GARCH Volatility persistence | 0.7243 | 20.11*** |
Spline Coefficients
K=10
| γ1 | 0.0012 | 0.03 |
| γ2 | 0.0288 | 0.52 |
| γ3 | -0.0713 | -2.03** |
| γ4 | 0.0518 | 1.46 |
| γ5 | -0.0042 | -0.12 |
| γ6 | -0.0081 | -0.24 |
| γ7 | -0.0281 | -0.78 |
| γ8 | 0.1075 | 3.00*** |
| γ9 | -0.1534 | -4.03*** |
| γ10 | 0.1006 | 3.23*** |
Persistence:
0.835
Half-life:
4 days
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