COMEX Silver MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
48.95%
1 Week
49.76%
1 Month
50.64%
Analysis last updated: Friday, July 17, 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 10, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 27% 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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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 51 | |
α ARCH Response to squared shocks | 0.0842 | 14.78*** |
β GARCH Volatility persistence | 0.8149 | 41.97*** |
γ leverage Additional response to negative shocks | -0.0180 | -2.83*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0563 | 1.61 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0848 | 1.55 |
λ₃ tau persistence Long-term factor persistence | 0.9034 | 14.42*** |
Persistence:
0.890
Half-life:
6 days
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