CBOE Gold Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0595	5.75***
β GARCH Volatility persistence	0.9563	111.08***
γ leverage Additional response to negative shocks	-0.0338	-3.27***
λ₁ tau intercept Baseline long-term coefficient	0.0011	0.35
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9999	303.35***

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Gold Spot Index Analyses