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

V-Lab

| |

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 27th, 2024:24.77% (-0.84%)

Analysis last updated: Saturday, December 28, 2024 at 12:15 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1209	4.87
$α$	0.1851	4.51
$β$	0.6829	14.21
$γ_{1}$	0.1807	2.20
$γ_{2}$	-0.2946	-2.38
$γ_{3}$	0.2643	3.57
$γ_{4}$	-0.2418	-4.63
$γ_{5}$	0.1095	2.90

Estimation Period:
Feb 26, 2008 to Aug 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
GAS-GARCH Student T
MF2-GARCH