ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, December 5th, 2025:29.77% (-0.40%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.4048 | 20.30 | |
| 0.1422 | 15.27 | |
| 0.8545 | 143.85 | |
| -0.0983 | -8.08 |
Estimation Period:
Apr 26, 1995 to Nov 26, 2025
Apr 26, 1995 to Nov 26, 2025
News Impact Curve
Volatility Forecasts
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