CBOE Gold Volatility Index AGARCH Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
68.98%
increased by 9.49%
1 Week
74.64%
increased by 15.15%
1 Month
82.15%
increased by 22.66%
Analysis last updated: Friday, October 23, 2026 at 12:06 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 3, 2008 to Oct 16, 2026Model Insight
The news-impact curve is shifted (γ = -2.36) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
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Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.4272 | 5.72*** |
| αARCH | 0.1671 | 7.45*** |
| βGARCH | 0.6515 | 17.57*** |
| γleverage | -2.3607 | -4.45*** |
0.819
Persistence3d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.4272 | 5.72*** |
α ARCH Response to squared shocks | 0.1671 | 7.45*** |
β GARCH Volatility persistence | 0.6515 | 17.57*** |
γ leverage Additional response to negative shocks | -2.3607 | -4.45*** |
Persistence:
0.819
Half-life:
3 days
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