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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, September 20th, 2024:25.32% (-0.57%)

Analysis last updated: Friday, September 20, 2024 at 05:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3127	21.35
$α$	0.1867	24.95
$β$	0.7749	105.27

Estimation Period:
Feb 26, 2008 to Aug 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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MF2-GARCH