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V-Lab

CBOE Silver ETF Volatility Index GARCH Volatility Analysis

Inactive

Last recorded values (Monday, February 14th, 2022):

1 Day

89.38%

1 Week

87.53%

1 Month

84.00%

Analysis last updated: Saturday, September 3, 2022 at 04:59 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of CBOE Silver ETF Volatility Index GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Mar 16, 2011 to Feb 11, 2022

Model Insight

Volatility shocks decay with a half-life of 5 trading days, meaning a shock loses half its impact after approximately 5 days.

σ

GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

3.4309
12.64***
α

ARCH

Response to squared shocks

0.1258
9.87***
β

GARCH

Volatility persistence

0.7425
39.22***

Persistence:

0.868

Half-life:

5 days