CBOE Silver ETF Volatility Index

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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0836	3.87***
β GARCH Volatility persistence	0.8189	22.56***
γ leverage Additional response to negative shocks	-0.0181	-0.76
λ₁ tau intercept Baseline long-term coefficient	0.0574	1.95*
λ₂ forecast adj. Forecast performance sensitivity	0.0822	2.52**
λ₃ tau persistence Long-term factor persistence	0.9052	23.74***

V-Lab

COMEX Silver MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other COMEX Silver Analyses