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 2nd, 2025:27.75% (-1.88%)

Analysis last updated: Friday, May 2, 2025 at 11:51 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

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