ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index EGARCH Volatility Analysis
Volatility Prediction for Friday, October 17th, 2025:38.04% (+3.05%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.1258 | 20.33 | |
| 0.3003 | 25.45 | |
| 0.9315 | 264.26 | |
| 0.0673 | 6.59 |
Estimation Period:
Feb 26, 2008 to Jul 3, 2025
Feb 26, 2008 to Jul 3, 2025
News Impact Curve
Volatility Forecasts
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