CBOE Gold Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0072	8.41***
α ARCH Response to squared shocks	0.1017	14.80***
β GARCH Volatility persistence	0.9880	991.94***
γ leverage Additional response to negative shocks	0.0189	3.36***

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COMEX Gold EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other COMEX Gold Analyses