CBOE Gold Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
81.72%
decreased by 2.10%
1 Week
82.39%
decreased by 1.43%
1 Month
83.52%
decreased by 0.30%
Analysis last updated: Wednesday, July 22, 2026 at 12:06 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 3, 2008 to Jul 17, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 167% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.1088 | 21.73*** |
α ARCH Response to squared shocks | 0.2180 | 18.15*** |
β GARCH Volatility persistence | 0.7046 | 67.27*** |
γ leverage Additional response to negative shocks | -0.1363 | -6.65*** |
Persistence:
0.854
Half-life:
4 days
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