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	0.0133	2.96***
α ARCH Response to squared shocks	0.0557	3.64***
β GARCH Volatility persistence	0.9462	76.25***
γ leverage Additional response to negative shocks	-0.0240	-1.18

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COMEX Gold GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other COMEX Gold Analyses