ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, October 10th, 2025:34.59% (+1.27%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.4128 | 20.09 | |
| 0.1430 | 15.22 | |
| 0.8533 | 140.53 | |
| -0.0985 | -8.03 |
Estimation Period:
Apr 26, 1995 to Jul 3, 2025
Apr 26, 1995 to Jul 3, 2025
News Impact Curve
Volatility Forecasts
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