V-Lab
ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
33.94%
1 Week
35.04%
1 Month
37.02%
Analysis last updated: Friday, July 24, 2026 at 11:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 26, 2008 to Jul 2, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 276% 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 46 | |
α ARCH Response to squared shocks | 0.2366 | 25.50*** |
β GARCH Volatility persistence | 0.7293 | 66.90*** |
γ leverage Additional response to negative shocks | -0.1736 | -17.26*** |
λ₁ tau intercept Baseline long-term coefficient | 1.5841 | 1.53 |
λ₂ forecast adj. Forecast performance sensitivity | 0.6669 | 1.24 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.879
Half-life:
5 days
Other ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index Analyses
Other MF2-GARCH Analyses on Volatility Indices