ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, October 10th, 2025:23.51% (-0.40%)
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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