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, July 11th, 2025:22.87% (-0.36%)

Analysis last updated: Saturday, July 12, 2025 at 12:23 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1202	4.99
$α$	0.1928	4.61
$β$	0.6587	13.73
$γ_{1}$	0.1695	1.27
$γ_{2}$	-0.0586	-0.26
$γ_{3}$	-0.3712	-1.60
$γ_{4}$	0.5669	2.56
$γ_{5}$	-0.4115	-2.04
$γ_{6}$	0.1618	0.88
$γ_{7}$	-0.2401	-1.59
$γ_{8}$	0.2970	3.08

Estimation Period:
Feb 26, 2008 to Jul 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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