V-Lab
S&P GSCI Silver Index MF2-GARCH Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
39.85%
1 Week
39.69%
1 Month
39.25%
Analysis last updated: Thursday, August 6, 2026 at 11:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 114% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 121 | |
α ARCH Response to squared shocks | 0.0639 | 26.02*** |
β GARCH Volatility persistence | 0.9370 | 311.71*** |
γ leverage Additional response to negative shocks | -0.0341 | -11.83*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0093 | 8.80*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0223 | 7.02*** |
λ₃ tau persistence Long-term factor persistence | 0.9754 | 275.86*** |
Persistence:
0.984
Half-life:
43 days
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