V-Lab
ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index AGARCH Volatility Analysis
Volatility Prediction for Friday, April 19th, 2024:47.45% (-2.65%)
Analysis last updated: Saturday, April 20, 2024 at 03:03 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.2370 | 9.92 | |
| 0.0906 | 28.63 | |
| 0.8604 | 162.89 | |
| -1.3807 | -13.91 |
Estimation Period:
Apr 26, 1995 to Mar 28, 2024
Apr 26, 1995 to Mar 28, 2024
News Impact Curve
Volatility Forecasts
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