V-Lab
ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index GJR-GARCH Volatility Analysis
Volatility Prediction for Wednesday, November 27th, 2024:23.86% (-1.15%)
Analysis last updated: Thursday, November 28, 2024 at 12:36 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.3065 | 21.94 | |
| 0.2281 | 20.06 | |
| 0.7864 | 114.39 | |
| -0.1155 | -7.41 |
Estimation Period:
Feb 26, 2008 to Aug 30, 2024
Feb 26, 2008 to Aug 30, 2024
News Impact Curve
Volatility Forecasts
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