V-Lab
ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, September 25th, 2026
1 Day
80.83%
increased by 10.36%
1 Week
76.16%
increased by 5.69%
1 Month
63.10%
decreased by 7.37%
Analysis last updated: Friday, September 25, 2026 at 08:56 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 26, 1995 to Sep 24, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 9 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.6298 | 4.54*** |
| αARCH | 0.0988 | 4.88*** |
| βGARCH | 0.8242 | 20.64*** |
Spline Coefficients
K=8
| γ1 | -0.0387 | -0.45 |
| γ2 | 0.0176 | 0.14 |
| γ3 | 0.0623 | 0.91 |
| γ4 | -0.0803 | -1.70* |
| γ5 | 0.0206 | 0.43 |
| γ6 | 0.1033 | 2.32** |
| γ7 | -0.1739 | -4.56*** |
| γ8 | 0.1243 | 4.47*** |
0.923
Persistence9d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6298 | 4.54*** |
α ARCH Response to squared shocks | 0.0988 | 4.88*** |
β GARCH Volatility persistence | 0.8242 | 20.64*** |
Spline Coefficients
K=8
| γ1 | -0.0387 | -0.45 |
| γ2 | 0.0176 | 0.14 |
| γ3 | 0.0623 | 0.91 |
| γ4 | -0.0803 | -1.70* |
| γ5 | 0.0206 | 0.43 |
| γ6 | 0.1033 | 2.32** |
| γ7 | -0.1739 | -4.56*** |
| γ8 | 0.1243 | 4.47*** |
Persistence:
0.923
Half-life:
9 days
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