V-Lab
ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index GAS-GARCH Student T Volatility Analysis
Volatility Prediction for Friday, August 29th, 2025:21.95% (-1.35%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 6.5123 | 4.46 | |
| 0.1199 | 27.93 | |
| 0.9732 | 165.94 | |
| 3.8779 | 12.84 |
Estimation Period:
Feb 26, 2008 to Jul 3, 2025
Feb 26, 2008 to Jul 3, 2025
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