V-Lab

ICE BofAML U.S. Bond Market Option Volatility Estimate Index Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Monday, May 19th, 2025:62.89% (-0.44%)
Analysis last updated: Saturday, May 17, 2025 at 10:15 PM UTC
Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of ICE BofAML U.S. Bond Market Option Volatility Estimate Index S0GARCH
paramt-stat
ω0.77217.38
α0.11996.87
β0.701617.37
γ1-0.0010-0.02
γ20.03940.65
γ3-0.0842-2.05
γ40.05321.23
γ50.00240.06
γ6-0.0075-0.18
γ7-0.0452-1.08
γ80.12653.03
γ9-0.1459-3.09
γ100.07572.14
Estimation Period:
Jan 2, 1990 to May 16, 2025
Impact of return on volatility tomorrow
Volatility Forecasts