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

V-Lab

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

Volatility Prediction for Friday, June 27th, 2025:34.69% (-1.08%)

Analysis last updated: Saturday, June 28, 2025 at 12:55 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6234	4.50
$α$	0.1024	4.35
$β$	0.8076	16.90
$γ_{1}$	-0.0369	-0.40
$γ_{2}$	0.0088	0.07
$γ_{3}$	0.0719	1.05
$γ_{4}$	-0.0700	-1.42
$γ_{5}$	-0.0214	-0.44
$γ_{6}$	0.1550	3.73
$γ_{7}$	-0.1950	-4.97
$γ_{8}$	0.1162	3.94

Estimation Period:
Apr 26, 1995 to Jun 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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