ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
39.89%
1 Week
40.42%
1 Month
42.04%
Analysis last updated: Saturday, October 10, 2026 at 02:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 26, 2008 to Oct 8, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 280% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 46 | |
| αARCH | 0.2325 | 5.95*** |
| βGARCH | 0.7331 | 20.80*** |
| γleverage | -0.1713 | -4.29*** |
| λ₁tau intercept | 1.5637 | 2.17** |
| λ₂forecast adj. | 0.6743 | 2.45** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.880
Persistence5d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 46 | |
α ARCH Response to squared shocks | 0.2325 | 5.95*** |
β GARCH Volatility persistence | 0.7331 | 20.80*** |
γ leverage Additional response to negative shocks | -0.1713 | -4.29*** |
λ₁ tau intercept Baseline long-term coefficient | 1.5637 | 2.17** |
λ₂ forecast adj. Forecast performance sensitivity | 0.6743 | 2.45** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.880
Half-life:
5 days
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