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 Monday, July 7th, 2025:30.63% (-1.28%)

Analysis last updated: Saturday, July 5, 2025 at 02:13 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2350	9.95
$α$	0.0902	29.02
$β$	0.8595	163.58
$γ$	-1.3969	-14.45

Estimation Period:
Apr 26, 1995 to Jul 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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