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

V-Lab

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

Volatility Prediction for Friday, June 27th, 2025:21.02% (-0.90%)

Analysis last updated: Saturday, June 28, 2025 at 12:54 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1192	4.98
$α$	0.1930	4.62
$β$	0.6597	13.78
$γ_{1}$	0.1678	1.25
$γ_{2}$	-0.0547	-0.24
$γ_{3}$	-0.3751	-1.60
$γ_{4}$	0.5677	2.54
$γ_{5}$	-0.4082	-2.01
$γ_{6}$	0.1583	0.86
$γ_{7}$	-0.2377	-1.57
$γ_{8}$	0.2947	3.03

Estimation Period:
Feb 26, 2008 to Jun 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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