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

V-Lab

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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 27th, 2024:31.22% (-1.59%)

Analysis last updated: Saturday, December 28, 2024 at 12:15 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.2363	23.91
$β$	0.5928	23.32
$γ$	-0.1802	-12.59
$λ_{1}$	0.6581	1.19
$λ_{2}$	0.1283	1.15
$λ_{3}$	0.7903	4.58

Estimation Period:
Apr 26, 1995 to Aug 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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