V-Lab
COMEX Gold MF2-GARCH Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
22.91%
1 Week
22.88%
1 Month
22.70%
Analysis last updated: Friday, August 7, 2026 at 05:15 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 83% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 126 | |
α ARCH Response to squared shocks | 0.0485 | 15.06*** |
β GARCH Volatility persistence | 0.9459 | 176.07*** |
γ leverage Additional response to negative shocks | -0.0220 | -3.76*** |
λ₁ tau intercept Baseline long-term coefficient | 0.5820 | 0.08 |
λ₂ forecast adj. Forecast performance sensitivity | 0.5259 | 0.08 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.983
Half-life:
41 days
Other MF2-GARCH Analyses on Commodities