V-Lab

ICE BofAML U.S. Bond Market Option Volatility Estimate Index Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Friday, August 29th, 2025:60.56% (-1.23%)
Analysis last updated: Friday, August 29, 2025 at 09:19 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
ω0.75637.41
α0.11816.69
β0.692116.18
γ1-0.0045-0.11
γ20.04260.73
γ3-0.0855-2.21
γ40.05901.45
γ5-0.0055-0.14
γ6-0.0023-0.06
γ7-0.0469-1.18
γ80.13073.33
γ9-0.1598-3.63
γ100.09212.74
Estimation Period:
Jan 2, 1990 to Aug 22, 2025
Impact of return on volatility tomorrow
Volatility Forecasts