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
m window Rolling window length	126
α ARCH Response to squared shocks	0.0501	4.36***
β GARCH Volatility persistence	0.9493	81.38***
γ leverage Additional response to negative shocks	-0.0222	-1.52
λ₁ tau intercept Baseline long-term coefficient	0.8756	0.18
λ₂ forecast adj. Forecast performance sensitivity	0.3153	0.18
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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COMEX Gold MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other COMEX Gold Analyses