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, July 14th, 2025:61.26% (+2.46%)

Analysis last updated: Saturday, July 12, 2025 at 09:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8326	10.49
$α$	0.1168	6.93
$β$	0.7098	18.28
$γ_{1}$	0.0325	2.94
$γ_{2}$	-0.0569	-3.41
$γ_{3}$	0.0394	3.49
$γ_{4}$	-0.0332	-3.25
$γ_{5}$	0.0495	4.29
$γ_{6}$	-0.0796	-3.57

Estimation Period:
Jan 2, 1990 to Jul 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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Zero Slope Spline-GARCH
GAS-GARCH Student T
MF2-GARCH