V-Lab
V-Lab
ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, March 21st, 2025:43.24% (+1.06%)
Analysis last updated: Saturday, March 22, 2025 at 01:10 AM UTC
Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index GJR-GARCH
paramt-stat
ω0.419219.79
α0.142215.08
β0.8534137.80
γ-0.0974-7.87
Estimation Period:
Apr 26, 1995 to Aug 30, 2024
Impact of return on volatility tomorrow
Volatility Forecasts