V-Lab: ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index GJR-GARCH Volatility Analysis

V-Lab

ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, August 22nd, 2025:32.63% (-0.73%)

Analysis last updated: Saturday, August 23, 2025 at 01:18 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4128	20.09
$α$	0.1430	15.22
$β$	0.8533	140.53
$γ$	-0.0985	-8.03

Estimation Period:
Apr 26, 1995 to Jul 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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