V-Lab: ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index AGARCH Volatility Analysis

V-Lab

ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index AGARCH Volatility Analysis

Volatility Prediction for Friday, April 11th, 2025:62.09% (-3.55%)

Analysis last updated: Saturday, April 12, 2025 at 02:20 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2340	10.03
$α$	0.0899	29.02
$β$	0.8605	165.38
$γ$	-1.3872	-14.34

Estimation Period:
Apr 26, 1995 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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