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

V-Lab

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

Volatility Prediction for Friday, May 30th, 2025:33.29% (-1.28%)

Analysis last updated: Friday, May 30, 2025 at 11:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.2339	23.58
$β$	0.6026	23.94
$γ$	-0.1783	-12.73
$λ_{1}$	0.6000	1.25
$λ_{2}$	0.1208	1.19
$λ_{3}$	0.8044	5.23

Estimation Period:
Apr 26, 1995 to Apr 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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