V-Lab: ICE BofAML U.S. Bond Market Option Volatility Estimate Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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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 Friday, December 20th, 2024:78.25% (-0.91%)

Analysis last updated: Friday, December 20, 2024 at 09:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8260	10.21
$α$	0.1150	7.05
$β$	0.7229	20.15
$γ_{1}$	0.0313	2.68
$γ_{2}$	-0.0543	-3.08
$γ_{3}$	0.0354	2.96
$γ_{4}$	-0.0264	-2.46
$γ_{5}$	0.0342	3.54
$γ_{6}$	-0.0320	-4.52

Estimation Period:
Jan 2, 1990 to Dec 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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