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

V-Lab

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V-Lab

ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Friday, December 20th, 2024:34.77% (+4.40%)

Analysis last updated: Friday, December 20, 2024 at 09:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	8.3007	5.84
$α$	0.0908	22.49
$β$	0.9612	144.05
$ν$	4	10.56

Estimation Period:
Apr 26, 1995 to Aug 30, 2024

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GJR-GARCH
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