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

V-Lab

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

Volatility Prediction for Friday, June 27th, 2025:35.82% (-1.03%)

Analysis last updated: Saturday, June 28, 2025 at 12:54 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3932	14.68
$α$	0.0944	22.54
$β$	0.8575	136.46

Estimation Period:
Apr 26, 1995 to Jun 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index Analyses
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EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T
MF2-GARCH