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

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V-Lab

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

Volatility Prediction for Monday, October 20th, 2025:70.98% (-5.38%)

Analysis last updated: Saturday, October 18, 2025 at 09:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8315	10.53
$α$	0.1159	6.95
$β$	0.7104	18.36
$γ_{1}$	0.0317	2.93
$γ_{2}$	-0.0557	-3.40
$γ_{3}$	0.0386	3.49
$γ_{4}$	-0.0323	-3.27
$γ_{5}$	0.0487	4.53
$γ_{6}$	-0.0827	-4.05

Estimation Period:
Jan 2, 1990 to Oct 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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GAS-GARCH Student T
MF2-GARCH