V-Lab: ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index APARCH Volatility Analysis

V-Lab

ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index APARCH Volatility Analysis

Volatility Prediction for Friday, September 12th, 2025:23.70% (+0.93%)

Analysis last updated: Friday, September 12, 2025 at 11:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.1911	15.16
$α$	0.1649	22.50
$β$	0.8130	115.97
$γ$	-0.2108	-7.84
$δ$	1.5189	25.93

Estimation Period:
Feb 26, 2008 to Jul 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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