ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
57.09%
decreased by 3.19%
1 Week
55.99%
decreased by 4.29%
1 Month
52.70%
decreased by 7.58%
Analysis last updated: Saturday, October 10, 2026 at 02:29 AM 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 Oct 8, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 231% 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 231% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.3979 | 5.28*** |
| αARCH | 0.1423 | 3.97*** |
| βGARCH | 0.8567 | 38.23*** |
| γleverage | -0.0994 | -2.10** |
0.949
Persistence13d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3979 | 5.28*** |
α ARCH Response to squared shocks | 0.1423 | 3.97*** |
β GARCH Volatility persistence | 0.8567 | 38.23*** |
γ leverage Additional response to negative shocks | -0.0994 | -2.10** |
Persistence:
0.949
Half-life:
13 days
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