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	0.0136	11.88***
α ARCH Response to squared shocks	0.0563	14.50***
β GARCH Volatility persistence	0.9456	301.24***
γ leverage Additional response to negative shocks	-0.0244	-4.72***

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COMEX Gold GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other COMEX Gold Analyses