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

V-Lab

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V-Lab

ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Friday, December 27th, 2024:21.57% (-1.81%)

Analysis last updated: Saturday, December 28, 2024 at 12:15 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	6.9738	4.18
$α$	0.1204	28.73
$β$	0.9748	165.70
$ν$	4	13.66

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

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GJR-GARCH
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