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, May 2nd, 2025:24.57% (-2.07%)

Analysis last updated: Friday, May 2, 2025 at 11:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	46
$α$	0.2445	23.99
$β$	0.7177	61.02
$γ$	-0.1749	-16.22
$λ_{1}$	1.6663	1.54
$λ_{2}$	0.6522	1.25
$λ_{3}$	0.0000	0.00

Estimation Period:
Feb 26, 2008 to Apr 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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