CBOE Silver ETF Volatility Index GJR-GARCH Volatility Analysis
Inactive
Last recorded values (Monday, February 14th, 2022):
1 Day
101.46%
1 Week
94.55%
1 Month
84.61%
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
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 205% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 13.73*** |
α ARCH Response to squared shocks | 0.2025 | 7.15*** |
β GARCH Volatility persistence | 0.6626 | 31.43*** |
γ leverage Additional response to negative shocks | -0.1362 | -3.77*** |
Persistence:
0.797
Half-life:
3 days
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