CBOE Gold Volatility Index

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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0130	12.65***
α ARCH Response to squared shocks	0.0748	14.22***
β GARCH Volatility persistence	0.9314	272.42***
γ leverage Additional response to negative shocks	-0.0302	-3.75***

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SPDR Gold Shares GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SPDR Gold Shares Analyses