CBOE Gold Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0094	6.47***
α ARCH Response to squared shocks	0.0429	15.42***
β GARCH Volatility persistence	0.9457	302.53***
γ leverage Additional response to negative shocks	-0.3068	-9.02***

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COMEX Gold AGARCH Volatility Analysis

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