ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, October 17th, 2025:36.46% (+1.86%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.2850 | 22.20 | |
| 0.2266 | 20.56 | |
| 0.7902 | 120.13 | |
| -0.1160 | -7.61 |
Estimation Period:
Feb 26, 2008 to Jul 3, 2025
Feb 26, 2008 to Jul 3, 2025
News Impact Curve
Volatility Forecasts
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