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

Skip to main content

V-Lab

ICE BofAML U.S. Bond Market Option Volatility Estimate Index Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 18th, 2025:53.63% (+1.13%)

Analysis last updated: Tuesday, November 18, 2025 at 10:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8293	10.53
$α$	0.1153	6.94
$β$	0.7108	18.37
$γ_{1}$	0.0313	2.91
$γ_{2}$	-0.0552	-3.39
$γ_{3}$	0.0383	3.49
$γ_{4}$	-0.0321	-3.28
$γ_{5}$	0.0486	4.61
$γ_{6}$	-0.0843	-4.22

Estimation Period:
Jan 2, 1990 to Nov 14, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other ICE BofAML U.S. Bond Market Option Volatility Estimate Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T
MF2-GARCH