V-Lab
CBOE Gold Volatility Index MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
70.44%
1 Week
70.75%
1 Month
71.31%
Analysis last updated: Saturday, July 25, 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 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 258% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 126 | |
α ARCH Response to squared shocks | 0.1822 | 32.10*** |
β GARCH Volatility persistence | 0.7557 | 72.32*** |
γ leverage Additional response to negative shocks | -0.1313 | -10.93*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0000 | 0.00 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.01 |
λ₃ tau persistence Long-term factor persistence | 0.9999 | 631.26*** |
Persistence:
0.872
Half-life:
5 days
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