V-Lab: CBOE Silver ETF Volatility Index Zero Slope Spline-GARCH Volatility Analysis

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CBOE Silver ETF Volatility Index Zero Slope Spline-GARCH Volatility Analysis

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Analysis last updated: Saturday, September 3, 2022 at 05:00 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1348	5.74
$α$	0.1554	2.56
$β$	0.4405	3.01
$γ_{1}$	0.5652	0.85
$γ_{2}$	-0.8465	-0.82
$γ_{3}$	0.4974	0.80
$γ_{4}$	-0.6054	-0.94
$γ_{5}$	0.7766	1.13
$γ_{6}$	-0.5452	-0.97
$γ_{7}$	0.2171	0.39
$γ_{8}$	0.5505	0.85
$γ_{9}$	-1.8416	-3.01
$γ_{10}$	1.8300	4.90

Estimation Period:
Mar 16, 2011 to Feb 11, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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