V-Lab
COMEX Silver MF2-GARCH Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
44.94%
1 Week
45.55%
1 Month
46.83%
Analysis last updated: Friday, August 7, 2026 at 05:16 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 29% 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 | 51 | |
α ARCH Response to squared shocks | 0.0840 | 14.73*** |
β GARCH Volatility persistence | 0.8195 | 42.89*** |
γ leverage Additional response to negative shocks | -0.0189 | -3.00*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0552 | 1.66* |
λ₂ forecast adj. Forecast performance sensitivity | 0.0809 | 1.57 |
λ₃ tau persistence Long-term factor persistence | 0.9073 | 15.32*** |
Persistence:
0.894
Half-life:
6 days
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