ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index APARCH Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
56.77%
1 Week
55.85%
1 Month
52.92%
Analysis last updated: Friday, October 2, 2026 at 09:39 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 26, 2008 to Sep 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 102% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets. The volatility power δ = 1.50 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1730 | 3.82*** |
| αARCH | 0.1566 | 5.83*** |
| βGARCH | 0.8244 | 32.15*** |
| γleverage | -0.2298 | -2.13** |
| δpower | 1.5038 | 6.75*** |
0.962
Persistence18d
Half-lifeAPARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1730 | 3.82*** |
α ARCH Response to squared shocks | 0.1566 | 5.83*** |
β GARCH Volatility persistence | 0.8244 | 32.15*** |
γ leverage Additional response to negative shocks | -0.2298 | -2.13** |
δ power Transformation power | 1.5038 | 6.75*** |
Persistence:
0.962
Half-life:
18 days
Other ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index Analyses
Other APARCH Analyses on Volatility Indices