V-Lab
ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index GAS-GARCH Student T Volatility Analysis
Volatility Prediction for Friday, May 2nd, 2025:29.48% (-3.10%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 6.7309 | 4.32 | |
| 0.1198 | 28.66 | |
| 0.9746 | 169.87 | |
| 3.8487 | 13.31 |
Estimation Period:
Feb 26, 2008 to Apr 17, 2025
Feb 26, 2008 to Apr 17, 2025
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