V-Lab
ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
57.40%
decreased by 2.64%
1 Week
56.41%
decreased by 3.63%
1 Month
53.16%
decreased by 6.88%
Analysis last updated: Friday, October 2, 2026 at 09:39 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 Sep 24, 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 | 0.2607 | 5.69*** |
| αARCH | 0.2180 | 5.51*** |
| βGARCH | 0.8032 | 34.18*** |
| γleverage | -0.1180 | -2.11** |
0.962
Persistence18d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2607 | 5.69*** |
α ARCH Response to squared shocks | 0.2180 | 5.51*** |
β GARCH Volatility persistence | 0.8032 | 34.18*** |
γ leverage Additional response to negative shocks | -0.1180 | -2.11** |
Persistence:
0.962
Half-life:
18 days
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