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
ω const Unconditional variance weight	0.5814	4.58***
α ARCH Response to squared shocks	0.0502	5.10***
β GARCH Volatility persistence	0.9342	79.54***

γ₁	-0.0001	0.00
γ₂	-0.0275	-1.08
γ₃	0.0535	3.48***
γ₄	-0.0363	-3.32***

V-Lab

COMEX Silver Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other COMEX Silver Analyses