CBOE Gold 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
m window Rolling window length	126
α ARCH Response to squared shocks	0.0598	22.01***
β GARCH Volatility persistence	0.9562	429.73***
γ leverage Additional response to negative shocks	-0.0341	-13.07***
λ₁ tau intercept Baseline long-term coefficient	0.0011	40.11***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.11
λ₃ tau persistence Long-term factor persistence	0.9999

V-Lab

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