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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, December 20th, 2024:26.61% (+3.87%)

Analysis last updated: Friday, December 20, 2024 at 09:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	46
$α$	0.2448	23.61
$β$	0.7182	60.44
$γ$	-0.1739	-15.65
$λ_{1}$	1.8345	1.48
$λ_{2}$	0.6235	1.20
$λ_{3}$	0.0000	0.00

Estimation Period:
Feb 26, 2008 to Aug 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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