Generally, COD is greater than BOD because COD takes into account also inorganic oxidable species. BOD considers only the biodegradable species. To have a double check, try to do some chemical analyses before and after filtering to determine the amount of organic and inorganic species. Maybe in your case there are different contributions to removal other than filtration.
Dear William. What you observed was correct. In many filter anaerobic treatment mechanisms the COD is at least equal to BOD. As it has been mentioned above, the COD measures both what has happened biologically and chemically (plus or minus). Usually for a particular waste, one can correlate the BOD to the COD and most of the time COD is higher than the BOD. Goodluck
Note also a fine distinction in your question: with both COD and BOD you are technically measuring the removal of oxygen demand by your treatment system, whereas changes in volatile solids measure the reduction in the organic matter mass. The two results can differ somewhat because of the differences in energy content (and thus oxygen demand) in differing organic molecules (for instance lipids vs. simple carbohydrates).