CBOE Silver ETF Volatility Index

CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
mwindow	51
αARCH	0.0834	3.88***
βGARCH	0.8211	22.83***
γleverage	-0.0187	-0.79
λ₁tau intercept	0.0571	1.95*
λ₂forecast adj.	0.0812	2.53**
λ₃tau persistence	0.9063	24.08***

Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0834	3.88***
β GARCH Volatility persistence	0.8211	22.83***
γ leverage Additional response to negative shocks	-0.0187	-0.79
λ₁ tau intercept Baseline long-term coefficient	0.0571	1.95*
λ₂ forecast adj. Forecast performance sensitivity	0.0812	2.53**
λ₃ tau persistence Long-term factor persistence	0.9063	24.08***

V-Lab

COMEX Silver MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other COMEX Silver Analyses