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, May 9th, 2025:24.89% (-1.45%)

Analysis last updated: Saturday, May 10, 2025 at 03:52 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.1876	15.08
$α$	0.1649	22.46
$β$	0.8145	116.08
$γ$	-0.2096	-7.76
$δ$	1.5055	25.77

Estimation Period:
Feb 26, 2008 to Apr 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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