V-Lab: ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index MF2-GARCH Volatility Analysis

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V-Lab

ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, October 10th, 2025:34.87% (+1.79%)

Analysis last updated: Saturday, October 11, 2025 at 12:58 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.2327	23.24
$β$	0.6090	24.27
$γ$	-0.1779	-12.72
$λ_{1}$	0.5846	1.27
$λ_{2}$	0.1172	1.20
$λ_{3}$	0.8094	5.47

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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