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

V-Lab

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

Volatility Prediction for Monday, June 23rd, 2025:61.69% (+0.19%)

Analysis last updated: Saturday, June 21, 2025 at 09:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8318	10.46
$α$	0.1170	6.93
$β$	0.7098	18.29
$γ_{1}$	0.0325	2.93
$γ_{2}$	-0.0571	-3.40
$γ_{3}$	0.0394	3.47
$γ_{4}$	-0.0333	-3.23
$γ_{5}$	0.0493	4.20
$γ_{6}$	-0.0777	-3.42

Estimation Period:
Jan 2, 1990 to Jun 20, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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GAS-GARCH Student T
MF2-GARCH