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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 16, 2011 to Feb 11, 2022Model 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
| Parameter | Value | t-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
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