ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Friday, October 10th, 2025:20.78% (-0.57%)
Parameter Estimates
param | t-stat | |
---|---|---|
2.1202 | 4.99 | |
0.1928 | 4.61 | |
0.6587 | 13.73 | |
0.1695 | 1.27 | |
-0.0586 | -0.26 | |
-0.3712 | -1.60 | |
0.5669 | 2.56 | |
-0.4115 | -2.04 | |
0.1618 | 0.88 | |
-0.2401 | -1.59 | |
0.2970 | 3.08 |
Estimation Period:
Feb 26, 2008 to Jul 3, 2025
Feb 26, 2008 to Jul 3, 2025
News Impact Curve
Volatility Forecasts
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