V-Lab
CBOE Gold Volatility Index AGARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
71.21%
decreased by 3.16%
1 Week
76.15%
increased by 1.78%
1 Month
82.78%
increased by 8.41%
Analysis last updated: Friday, September 11, 2026 at 12:05 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 3, 2008 to Sep 4, 2026Model Insight
The news-impact curve is shifted (γ = -2.35) 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 | 4.4664 | 5.74*** |
| αARCH | 0.1681 | 7.45*** |
| βGARCH | 0.6500 | 17.46*** |
| γleverage | -2.3487 | -4.42*** |
0.818
Persistence3d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.4664 | 5.74*** |
α ARCH Response to squared shocks | 0.1681 | 7.45*** |
β GARCH Volatility persistence | 0.6500 | 17.46*** |
γ leverage Additional response to negative shocks | -2.3487 | -4.42*** |
Persistence:
0.818
Half-life:
3 days
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