V-Lab
ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index GAS-GARCH Student T Volatility Analysis
Volatility Prediction for Friday, June 27th, 2025:40.04% (-2.42%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 8.1662 | 6.16 | |
| 0.0916 | 22.84 | |
| 0.9602 | 147.57 | |
| 3.7196 | 10.53 |
Estimation Period:
Apr 26, 1995 to Jun 18, 2025
Apr 26, 1995 to Jun 18, 2025
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