ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index Spline-GARCH Volatility Analysis
Volatility Prediction for Friday, October 17th, 2025:36.37% (+2.96%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.6203 | 7.33 | |
| 0.0989 | 4.36 | |
| 0.8151 | 16.83 | |
| -0.0398 | -2.47 | |
| 0.0627 | 2.68 | |
| -0.0580 | -3.45 | |
| 0.0841 | 5.35 | |
| -0.1294 | -5.82 |
Estimation Period:
Apr 26, 1995 to Jul 3, 2025
Apr 26, 1995 to Jul 3, 2025
News Impact Curve
Volatility Forecasts
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