V-Lab
ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, September 25th, 2026
1 Day
56.98%
increased by 11.89%
1 Week
56.30%
increased by 11.21%
1 Month
53.91%
increased by 8.82%
Analysis last updated: Friday, September 25, 2026 at 08:56 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 26, 2008 to Sep 24, 2026Model Insight
Volatility shocks decay with a half-life of 27 trading days, meaning a shock loses half its impact after approximately 27 days. Returns follow a Student-t distribution with v = 3.96 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 27-day half-lifev = 3.96 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 6.6146 | 1.13 |
| αARCH | 0.1177 | 7.17*** |
| βGARCH | 0.9749 | 45.09*** |
| νDF | 3.9582 | 3.22*** |
0.975
Persistence27d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.6146 | 1.13 |
α ARCH Response to squared shocks | 0.1177 | 7.17*** |
β GARCH Volatility persistence | 0.9749 | 45.09*** |
ν DF Student-t tail thickness | 3.9582 | 3.22*** |
Persistence:
0.975
Half-life:
27 days
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