CBOE Gold Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0063	6.60***
α ARCH Response to squared shocks	0.0959	16.66***
β GARCH Volatility persistence	0.9927	1,359.87***
γ leverage Additional response to negative shocks	0.0303	6.76***

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S&P GSCI Gold Spot Index EGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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