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, July 11th, 2025:23.40% (-0.34%)

Analysis last updated: Saturday, July 12, 2025 at 12:22 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2850	22.20
$α$	0.2266	20.56
$β$	0.7902	120.13
$γ$	-0.1160	-7.61

Estimation Period:
Feb 26, 2008 to Jul 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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