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, December 12th, 2025:32.69% (-1.97%)

Analysis last updated: Friday, December 12, 2025 at 09:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.2286	22.50
$β$	0.6203	24.65
$γ$	-0.1753	-12.58
$λ_{1}$	0.5385	1.31
$λ_{2}$	0.1095	1.22
$λ_{3}$	0.8222	6.12

Estimation Period:
Apr 26, 1995 to Nov 26, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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