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

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CBOE Silver ETF Volatility Index Spline-GARCH Volatility Analysis

This asset is not actively trading

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
$ω$	0.9989	5.79
$α$	0.1510	2.74
$β$	0.4887	3.76
$γ_{1}$	0.0256	0.19
$γ_{2}$	-0.0918	-0.47
$γ_{3}$	0.1070	0.86
$γ_{4}$	0.1396	1.12
$γ_{5}$	-0.7496	-3.78

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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