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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, March 7th, 2025:41.37% (+0.90%)

Analysis last updated: Saturday, March 8, 2025 at 12:25 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6066	4.34
$α$	0.1008	4.33
$β$	0.8043	16.35
$γ_{1}$	-0.0666	-0.57
$γ_{2}$	0.0689	0.47
$γ_{3}$	-0.0490	-0.51
$γ_{4}$	0.1495	1.32
$γ_{5}$	-0.2026	-2.10
$γ_{6}$	0.1241	1.40
$γ_{7}$	-0.0611	-0.68
$γ_{8}$	0.1790	1.92
$γ_{9}$	-0.2845	-3.47
$γ_{10}$	0.1880	3.42

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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