V-Lab
CBOE Silver ETF Volatility Index MF2-GARCH Volatility Analysis
Last recorded values (Monday, February 14th, 2022):
1 Day
108.14%
1 Week
88.09%
1 Month
75.47%
Analysis last updated: Saturday, September 3, 2022 at 05:01 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 324% 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 | 51 | |
α ARCH Response to squared shocks | 0.2389 | 9.09*** |
β GARCH Volatility persistence | 0.3636 | 11.77*** |
γ leverage Additional response to negative shocks | -0.1825 | -5.18*** |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 0.30 |
λ₂ forecast adj. Forecast performance sensitivity | 0.5260 | 0.32 |
λ₃ tau persistence Long-term factor persistence | 0.0561 | 0.02 |
Persistence:
0.511
Half-life:
1 days
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