V-Lab
ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index GAS-GARCH Student T Volatility Analysis
Volatility Prediction for Friday, May 2nd, 2025:44.15% (-2.45%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 8.2340 | 5.99 | |
| 0.0909 | 22.80 | |
| 0.9612 | 147.77 | |
| 3.7003 | 10.59 |
Estimation Period:
Apr 26, 1995 to Apr 17, 2025
Apr 26, 1995 to Apr 17, 2025
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