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 Wednesday, September 17th, 2025:64.26% (-3.55%)

Analysis last updated: Wednesday, September 17, 2025 at 09:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7700	7.53
$α$	0.1180	6.80
$β$	0.6970	16.86
$γ_{1}$	-0.0000	-0.00
$γ_{2}$	0.0356	0.61
$γ_{3}$	-0.0797	-2.07
$γ_{4}$	0.0526	1.30
$γ_{5}$	-0.0003	-0.01
$γ_{6}$	-0.0049	-0.13
$γ_{7}$	-0.0466	-1.17
$γ_{8}$	0.1321	3.36
$γ_{9}$	-0.1634	-3.71
$γ_{10}$	0.0964	2.84

Estimation Period:
Jan 2, 1990 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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