CBOE Gold Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
mwindow	21
αARCH	0.1014	4.88***
βGARCH	0.6493	10.57***
γleverage	-0.0143	-0.64
λ₁tau intercept	0.0102	2.87***
λ₂forecast adj.	0.0543	5.84***
λ₃tau persistence	0.9421	95.74***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1014	4.88***
β GARCH Volatility persistence	0.6493	10.57***
γ leverage Additional response to negative shocks	-0.0143	-0.64
λ₁ tau intercept Baseline long-term coefficient	0.0102	2.87***
λ₂ forecast adj. Forecast performance sensitivity	0.0543	5.84***
λ₃ tau persistence Long-term factor persistence	0.9421	95.74***

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S&P GSCI Platinum Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Platinum Index Analyses