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

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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, October 10th, 2025:22.13% (-0.34%)

Analysis last updated: Saturday, October 11, 2025 at 12:58 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	46
$α$	0.2447	24.10
$β$	0.7175	61.17
$γ$	-0.1757	-16.36
$λ_{1}$	1.6543	1.54
$λ_{2}$	0.6512	1.25
$λ_{3}$	0.0000	0.00

Estimation Period:
Feb 26, 2008 to Jul 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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