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

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V-Lab

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

Volatility Prediction for Friday, December 12th, 2025:20.74% (-1.75%)

Analysis last updated: Friday, December 12, 2025 at 09:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1089	5.04
$α$	0.1892	4.62
$β$	0.6551	13.55
$γ_{1}$	0.1730	1.39
$γ_{2}$	-0.0815	-0.40
$γ_{3}$	-0.3339	-1.61
$γ_{4}$	0.5588	2.74
$γ_{5}$	-0.4549	-2.43
$γ_{6}$	0.2151	1.22
$γ_{7}$	-0.2784	-1.87
$γ_{8}$	0.3328	3.49

Estimation Period:
Feb 26, 2008 to Nov 26, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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