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	1.0876	7.51***
α ARCH Response to squared shocks	0.0429	4.05***
β GARCH Volatility persistence	0.9454	79.93***

V-Lab

COMEX Gold Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other COMEX Gold Analyses