V-Lab: ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index MF2-GARCH Volatility Analysis

V-Lab

ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, April 11th, 2025:48.01% (-2.56%)

Analysis last updated: Saturday, April 12, 2025 at 02:20 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	46
$α$	0.2442	23.90
$β$	0.7185	61.11
$γ$	-0.1742	-16.13
$λ_{1}$	1.6718	1.54
$λ_{2}$	0.6516	1.25
$λ_{3}$	0.0000	0.00

Estimation Period:
Feb 26, 2008 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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