V-Lab
ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 4th, 2026
1 Day
40.17%
decreased by 1.25%
1 Week
40.60%
decreased by 0.82%
1 Month
41.80%
increased by 0.38%
Analysis last updated: Friday, September 4, 2026 at 11:27 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 26, 1995 to Aug 27, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 229% 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
Tap to view equation
Inverse leverage: Positive returns increase volatility 229% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.4005 | 5.24*** |
| αARCH | 0.1429 | 3.93*** |
| βGARCH | 0.8555 | 37.57*** |
| γleverage | -0.0994 | -2.08** |
0.949
Persistence13d
Half-lifeσ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4005 | 5.24*** |
α ARCH Response to squared shocks | 0.1429 | 3.93*** |
β GARCH Volatility persistence | 0.8555 | 37.57*** |
γ leverage Additional response to negative shocks | -0.0994 | -2.08** |
Persistence:
0.949
Half-life:
13 days
Other ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index Analyses
Other GJR-GARCH Analyses on Volatility Indices