ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index EGARCH Volatility Analysis
Volatility prediction for Monday, June 22nd, 2026
1 Day
38.53%
decreased by 3.22%
1 Week
38.71%
decreased by 3.04%
1 Month
39.20%
decreased by 2.55%
Analysis last updated: Friday, June 19, 2026 at 09:52 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.1160 | 20.65 | |
| 0.2891 | 25.86 | |
| 0.9374 | 297.10 | |
| 0.0691 | 7.06 |
Estimation Period:
Feb 26, 2008 to Jun 18, 2026
Feb 26, 2008 to Jun 18, 2026
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