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 Monday, August 11th, 2025:67.97% (-3.90%)

Analysis last updated: Saturday, August 9, 2025 at 10:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7638	7.44
$α$	0.1172	6.80
$β$	0.7013	17.24
$γ_{1}$	-0.0054	-0.13
$γ_{2}$	0.0444	0.76
$γ_{3}$	-0.0854	-2.18
$γ_{4}$	0.0561	1.36
$γ_{5}$	-0.0022	-0.05
$γ_{6}$	-0.0043	-0.11
$γ_{7}$	-0.0462	-1.15
$γ_{8}$	0.1295	3.24
$γ_{9}$	-0.1568	-3.48
$γ_{10}$	0.0889	2.59

Estimation Period:
Jan 2, 1990 to Aug 8, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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