ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
38.35%
increased by 9.32%
1 Week
38.57%
increased by 9.54%
1 Month
39.24%
increased by 10.21%
Analysis last updated: Friday, October 23, 2026 at 08:56 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 26, 2008 to Oct 22, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 118% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
GJR-GARCH Model
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Inverse leverage: Positive returns increase volatility 118% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.2628 | 5.74*** |
| αARCH | 0.2160 | 5.53*** |
| βGARCH | 0.8033 | 34.21*** |
| γleverage | -0.1168 | -2.11** |
0.961
Persistence17d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2628 | 5.74*** |
α ARCH Response to squared shocks | 0.2160 | 5.53*** |
β GARCH Volatility persistence | 0.8033 | 34.21*** |
γ leverage Additional response to negative shocks | -0.1168 | -2.11** |
Persistence:
0.961
Half-life:
17 days
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