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

V-Lab

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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, January 31st, 2025:27.69% (-1.87%)

Analysis last updated: Saturday, February 1, 2025 at 01:57 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

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