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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, April 26th, 2024:39.29% (+5.46%)

Analysis last updated: Saturday, April 27, 2024 at 05:20 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.1357	20.18
$α$	0.3089	25.05
$β$	0.9279	248.36
$γ$	0.0681	6.48

Estimation Period:
Feb 26, 2008 to Mar 28, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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