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

V-Lab

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

Volatility Prediction for Friday, May 30th, 2025:26.55% (-1.47%)

Analysis last updated: Friday, May 30, 2025 at 11:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2837	22.10
$α$	0.2264	20.57
$β$	0.7911	120.33
$γ$	-0.1152	-7.56

Estimation Period:
Feb 26, 2008 to Apr 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index Analyses
GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T
MF2-GARCH