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, June 27th, 2025:24.59% (-0.59%)

Analysis last updated: Saturday, June 28, 2025 at 12:54 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2857	22.21
$α$	0.2270	20.56
$β$	0.7899	119.91
$γ$	-0.1160	-7.59

Estimation Period:
Feb 26, 2008 to Jun 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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