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

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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, December 12th, 2025:31.68% (-1.35%)

Analysis last updated: Friday, December 12, 2025 at 09:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6241	4.63
$α$	0.1014	4.33
$β$	0.8056	16.56
$γ_{1}$	-0.0371	-0.42
$γ_{2}$	0.0110	0.08
$γ_{3}$	0.0697	1.04
$γ_{4}$	-0.0744	-1.57
$γ_{5}$	-0.0089	-0.19
$γ_{6}$	0.1456	3.58
$γ_{7}$	-0.2050	-5.68
$γ_{8}$	0.1365	5.13

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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