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, July 25th, 2025:32.73% (+0.30%)

Analysis last updated: Saturday, July 26, 2025 at 01:07 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6245	4.51
$α$	0.1023	4.34
$β$	0.8073	16.83
$γ_{1}$	-0.0367	-0.40
$γ_{2}$	0.0089	0.07
$γ_{3}$	0.0715	1.04
$γ_{4}$	-0.0700	-1.43
$γ_{5}$	-0.0209	-0.43
$γ_{6}$	0.1550	3.74
$γ_{7}$	-0.1968	-5.06
$γ_{8}$	0.1186	4.06

Estimation Period:
Apr 26, 1995 to Jul 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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