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, October 23rd, 2025:64.53% (-2.30%)

Analysis last updated: Thursday, October 23, 2025 at 09:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7432	7.29
$α$	0.1132	6.65
$β$	0.7013	16.93
$γ_{1}$	-0.0080	-0.20
$γ_{2}$	0.0464	0.80
$γ_{3}$	-0.0854	-2.25
$γ_{4}$	0.0588	1.49
$γ_{5}$	-0.0055	-0.14
$γ_{6}$	-0.0036	-0.09
$γ_{7}$	-0.0445	-1.14
$γ_{8}$	0.1294	3.36
$γ_{9}$	-0.1629	-3.79
$γ_{10}$	0.0977	2.94

Estimation Period:
Jan 2, 1990 to Oct 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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