ICE BofAML U.S. Bond Market Option Volatility Estimate Index Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 15th, 2026
1 Day
80.56%
decreased by 1.64%
1 Week
84.86%
increased by 2.66%
1 Month
90.75%
increased by 8.55%
Analysis last updated: Thursday, October 15, 2026 at 04:03 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 9, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 3 trading days.
τ
Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7531 | 7.54*** |
| αARCH | 0.1128 | 7.06*** |
| βGARCH | 0.7068 | 18.33*** |
Spline Coefficients
K=10
| γ1 | -0.0038 | -0.10 |
| γ2 | 0.0424 | 0.78 |
| γ3 | -0.0906 | -2.63*** |
| γ4 | 0.0725 | 2.08** |
| γ5 | -0.0215 | -0.62 |
| γ6 | 0.0051 | 0.15 |
| γ7 | -0.0408 | -1.14 |
| γ8 | 0.1266 | 3.45*** |
| γ9 | -0.1927 | -4.30*** |
| γ10 | 0.2097 | 3.13*** |
0.820
Persistence3d
Half-lifeτ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7531 | 7.54*** |
α ARCH Response to squared shocks | 0.1128 | 7.06*** |
β GARCH Volatility persistence | 0.7068 | 18.33*** |
Spline Coefficients
K=10
| γ1 | -0.0038 | -0.10 |
| γ2 | 0.0424 | 0.78 |
| γ3 | -0.0906 | -2.63*** |
| γ4 | 0.0725 | 2.08** |
| γ5 | -0.0215 | -0.62 |
| γ6 | 0.0051 | 0.15 |
| γ7 | -0.0408 | -1.14 |
| γ8 | 0.1266 | 3.45*** |
| γ9 | -0.1927 | -4.30*** |
| γ10 | 0.2097 | 3.13*** |
Persistence:
0.820
Half-life:
3 days
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