CBOE Silver ETF Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

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	0.0828	3.90***
βGARCH	0.8269	23.63***
γleverage	-0.0198	-0.86
λ₁tau intercept	0.0536	1.96**
λ₂forecast adj.	0.0768	2.57**
λ₃tau persistence	0.9115	26.06***

Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0828	3.90***
β GARCH Volatility persistence	0.8269	23.63***
γ leverage Additional response to negative shocks	-0.0198	-0.86
λ₁ tau intercept Baseline long-term coefficient	0.0536	1.96**
λ₂ forecast adj. Forecast performance sensitivity	0.0768	2.57**
λ₃ tau persistence Long-term factor persistence	0.9115	26.06***

V-Lab

COMEX Silver MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other COMEX Silver Analyses