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, May 2nd, 2025:20.37% (-1.42%)

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
$ω$	2.1584	5.14
$α$	0.1952	4.68
$β$	0.6467	13.23
$γ_{1}$	0.2742	0.90
$γ_{2}$	-0.2344	-0.44
$γ_{3}$	0.0234	0.06
$γ_{4}$	-0.3925	-1.07
$γ_{5}$	0.7485	1.91
$γ_{6}$	-0.4533	-1.24
$γ_{7}$	-0.1384	-0.45
$γ_{8}$	0.3873	1.30
$γ_{9}$	-0.5961	-2.09
$γ_{10}$	0.6081	3.26

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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