V-Lab
ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 25th, 2026
1 Day
97.93%
increased by 13.48%
1 Week
94.14%
increased by 9.69%
1 Month
82.13%
decreased by 2.32%
Analysis last updated: Friday, September 25, 2026 at 08:55 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 26, 1995 to Sep 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 234% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
GJR-GARCH Model
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Inverse leverage: Positive returns increase volatility 234% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.3976 | 5.28*** |
| αARCH | 0.1433 | 3.96*** |
| βGARCH | 0.8565 | 38.28*** |
| γleverage | -0.1004 | -2.11** |
0.950
Persistence13d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3976 | 5.28*** |
α ARCH Response to squared shocks | 0.1433 | 3.96*** |
β GARCH Volatility persistence | 0.8565 | 38.28*** |
γ leverage Additional response to negative shocks | -0.1004 | -2.11** |
Persistence:
0.950
Half-life:
13 days
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