V-Lab
ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, December 27th, 2024:33.53% (-1.02%)
Analysis last updated: Saturday, December 28, 2024 at 12:15 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.4192 | 19.79 | |
| 0.1422 | 15.08 | |
| 0.8534 | 137.80 | |
| -0.0974 | -7.87 |
Estimation Period:
Apr 26, 1995 to Aug 30, 2024
Apr 26, 1995 to Aug 30, 2024
News Impact Curve
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