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

Volatility prediction for Friday, October 2nd, 2026

1 Day

71.72%

decreased by 4.74%

1 Week

69.89%

decreased by 6.57%

1 Month

64.21%

decreased by 12.25%

Analysis last updated: Friday, October 2, 2026 at 09:39 PM UTC

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Date Range:

from

10/01/2024

to

10/01/2026

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index APARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Apr 26, 1995 to Sep 24, 2026

Model Insight

Volatility shocks decay with a half-life of 16 trading days, meaning a shock loses half its impact after approximately 16 days. The volatility power δ = 1.63 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.

σ

APARCH Model

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Shock decay: Shocks decay with a 16-day half-lifeδ = 1.63 · sub-quadratic power
ParamValuet-stat
ωconst0.2589
2.77***
αARCH0.0951
3.94***
βGARCH0.8669
36.29***
γleverage-0.3341
-1.88*
δpower1.6338
4.60***

0.956

Persistence

16d

Half-life
σ

APARCH Model

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ParameterValuet-statistic
ω

const

Unconditional variance weight

0.2589
2.77***
α

ARCH

Response to squared shocks

0.0951
3.94***
β

GARCH

Volatility persistence

0.8669
36.29***
γ

leverage

Additional response to negative shocks

-0.3341
-1.88*
δ

power

Transformation power

1.6338
4.60***

Persistence:

0.956

Half-life:

16 days