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

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V-Lab

ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, October 24th, 2025:19.99% (-1.60%)

Analysis last updated: Saturday, October 25, 2025 at 03:10 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.0274	4.96
$α$	0.1814	4.74
$β$	0.6807	14.55
$γ_{1}$	0.1350	1.88
$γ_{2}$	-0.2132	-1.92
$γ_{3}$	0.1964	2.68
$γ_{4}$	-0.1878	-3.28
$γ_{5}$	-0.0117	-0.14

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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