ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, November 28th, 2025:24.40% (-1.34%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.2713 | 22.31 | |
| 0.2231 | 20.90 | |
| 0.7947 | 124.58 | |
| -0.1158 | -7.80 |
Estimation Period:
Feb 26, 2008 to Nov 26, 2025
Feb 26, 2008 to Nov 26, 2025
News Impact Curve
Volatility Forecasts
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