CBOE Gold Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

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CBOE Russell 2000 Volatility Index

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CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0597	21.96***
β GARCH Volatility persistence	0.9562	429.74***
γ leverage Additional response to negative shocks	-0.0340	-13.01***
λ₁ tau intercept Baseline long-term coefficient	0.0011	40.33***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.11
λ₃ tau persistence Long-term factor persistence	0.9999

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S&P GSCI Gold Spot Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Gold Spot Index Analyses