ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
40.98%
decreased by 1.61%
1 Week
40.97%
decreased by 1.62%
1 Month
40.93%
decreased by 1.66%
Analysis last updated: Friday, October 16, 2026 at 11:49 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 Oct 8, 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 |
|---|---|---|
| ωlong-run | 6.5908 | 1.13 |
| αscore | 0.1169 | 7.23*** |
| βpersistence | 0.9750 | 45.47*** |
| νDF | 3.9567 | 3.22*** |
0.975
Persistence27d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 6.5908 | 1.13 |
α score Weight on the scaled score | 0.1169 | 7.23*** |
β persistence Volatility persistence | 0.9750 | 45.47*** |
ν DF Student-t tail thickness | 3.9567 | 3.22*** |
Persistence:
0.975
Half-life:
27 days
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