CBOE Gold Volatility Index MF2-GARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
56.68%
1 Week
60.36%
1 Month
66.71%
Analysis last updated: Saturday, October 17, 2026 at 04:03 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 3, 2008 to Oct 16, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 255% 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
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 126 | |
| αARCH | 0.1799 | 7.02*** |
| βGARCH | 0.7566 | 21.42*** |
| γleverage | -0.1292 | -3.02*** |
| λ₁tau intercept | 0.0000 | 0.00 |
| λ₂forecast adj. | 0.0000 | 0.01 |
| λ₃tau persistence | 0.9999 | 310.63*** |
0.872
Persistence5d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 126 | |
α ARCH Response to squared shocks | 0.1799 | 7.02*** |
β GARCH Volatility persistence | 0.7566 | 21.42*** |
γ leverage Additional response to negative shocks | -0.1292 | -3.02*** |
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 | 310.63*** |
Persistence:
0.872
Half-life:
5 days
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