V-Lab
BETA
|
|
Volatility Institute
|
NYU Stern
Display:
Basic ▼
|
Basic
Intermediate
Experimental
Sign in
Documentation
»
Analysis List
»
Volatility Analysis
Correlation Analysis
Systemic Risk Analysis
Long Term Risk Forecasting
Loading...
S&P GSCI NATURAL GAS INDEX AGARCH VOLATILITY GRAPH
?
Volatility Prediction for Wednesday, May 22:
39.19% (-0.74)
COMPARE
VIX
S&P GSCI Natural Gas Index
»
EGARCH
GARCH
GAS-GARCH-T
GJR-GARCH
Other Analyses
»
Search:
AGARCH
APARCH
AMEM
APMEM
EGARCH
GARCH
GAS-GARCH-T
GJR-GARCH
MEM
SGARCH
S0GARCH
CDS-GARCH
CDS-GARCH-DYN
Commodities
»
Search:
AGARCH
APARCH
AMEM
APMEM
EGARCH
GARCH
GAS-GARCH-T
GJR-GARCH
MEM
SGARCH
S0GARCH
CDS-GARCH
CDS-GARCH-DYN
Corporate Bonds
»
Search:
AGARCH
APARCH
AMEM
APMEM
EGARCH
GARCH
GAS-GARCH-T
GJR-GARCH
MEM
SGARCH
S0GARCH
CDS-GARCH
CDS-GARCH-DYN
Credit Default Swaps
»
Search:
AGARCH
APARCH
AMEM
APMEM
EGARCH
GARCH
GAS-GARCH-T
GJR-GARCH
MEM
SGARCH
S0GARCH
CDS-GARCH
CDS-GARCH-DYN
Currencies
»
Search:
AGARCH
APARCH
AMEM
APMEM
EGARCH
GARCH
GAS-GARCH-T
GJR-GARCH
MEM
SGARCH
S0GARCH
CDS-GARCH
CDS-GARCH-DYN
Equities
»
Search:
AGARCH
APARCH
AMEM
APMEM
EGARCH
GARCH
GAS-GARCH-T
GJR-GARCH
MEM
SGARCH
S0GARCH
CDS-GARCH
CDS-GARCH-DYN
Equity Indices
»
Search:
AGARCH
APARCH
AMEM
APMEM
EGARCH
GARCH
GAS-GARCH-T
GJR-GARCH
MEM
SGARCH
S0GARCH
CDS-GARCH
CDS-GARCH-DYN
Equity Sectors
»
Search:
AGARCH
APARCH
AMEM
APMEM
EGARCH
GARCH
GAS-GARCH-T
GJR-GARCH
MEM
SGARCH
S0GARCH
CDS-GARCH
CDS-GARCH-DYN
International Equities
»
Search:
AGARCH
APARCH
AMEM
APMEM
EGARCH
GARCH
GAS-GARCH-T
GJR-GARCH
MEM
SGARCH
S0GARCH
CDS-GARCH
CDS-GARCH-DYN
Real Estate
»
Search:
AGARCH
APARCH
AMEM
APMEM
EGARCH
GARCH
GAS-GARCH-T
GJR-GARCH
MEM
SGARCH
S0GARCH
CDS-GARCH
CDS-GARCH-DYN
Treasuries
»
Search:
AGARCH
APARCH
AMEM
APMEM
EGARCH
GARCH
GAS-GARCH-T
GJR-GARCH
MEM
SGARCH
S0GARCH
CDS-GARCH
CDS-GARCH-DYN
Volatility Indices
»
Search:
AGARCH
APARCH
AMEM
APMEM
EGARCH
GARCH
GAS-GARCH-T
GJR-GARCH
MEM
SGARCH
S0GARCH
CDS-GARCH
CDS-GARCH-DYN
SUB PLOT
Return/Price
Return
Price
None
LINE STYLE
Lines
Lines Points
KEY POSTION
Inside
»
Bottom Left
Bottom Right
Top Left
Top Right
Outside
COPY GRAPH
Date Range:
from
to
Window:
3m
·
6m
·
1y
·
2y
·
5y
·
all
Volatility Summary Table
Closing Price (USD)
:
$198.47
Return
:
2.33%
1 Week Pred
:
39.69%
Avg Week Vol
:
39.95%
Avg Month Vol
:
40.72%
1 Month Pred
:
41.31%
Min Vol
:
19.14%
Max Vol
:
117.8%
6 Months Pred
:
46.86%
Avg Vol
:
50.15%
Vol of Vol
:
39.8%
1 Year Pred
:
48.86%
Models
Assets
Analysis on S&P GSCI Natural Gas Index
EGARCH
- Return Series
GARCH
- Return Series
GAS-GARCH Student T
- Return Series
GJR-GARCH
- Return Series
AGARCH analysis on Commodities
Gold Spot
iShares Gold Trust
iShares S&P Global Energy
iShares S&P GSCI Commodity-Indexed Trust
iShares Silver Trust
Lumber, Generic 1st
Oats, Generic 1st
PowerShares DB Agriculture
PowerShares DB Com indx Trckng
PowerShares DB Energy
PowerShares DB Gold
PowerShares DB Oil
PowerShares DB Precious Metals
PowerShares DB Silver
Rough Rice, Generic 1st
S&P GSCI Agricultural Spot Index
S&P GSCI All Cattle Spot Index
S&P GSCI All Crude Spot Index
S&P GSCI Aluminum Spot Index
S&P GSCI Biofuel Spot Index
S&P GSCI Brent Crude Oil Index
S&P GSCI Cocoa Index
S&P GSCI Coffee Index
S&P GSCI Copper Spot Index
S&P GSCI Corn Index
S&P GSCI Cotton Index
S&P GSCI Energy and Metals Spot Index
S&P GSCI Feeder Cattle Index
S&P GSCI Gold Spot Index
S&P GSCI Grains Spot Index
S&P GSCI Heating Oil Index
S&P GSCI Industrial Metals Spot Index
S&P GSCI Inverse Crude Oil Spot Index
S&P GSCI Lead Spot Index
S&P GSCI Lean Hogs Index
S&P GSCI Light Energy Spot Index
S&P GSCI Live Cattle Index
S&P GSCI Livestock Spot Index
S&P GSCI Nickel Spot Index
S&P GSCI Orange Juice Spot Index
S&P GSCI Palladium Spot Index
S&P GSCI Petroleum Spot Index
S&P GSCI Platinum Index
S&P GSCI Precious Metals Spot Index
S&P GSCI Silver Index
S&P GSCI Softs Spot Index
S&P GSCI Soybeans Index
S&P GSCI Spot Index
S&P GSCI Sugar Index
S&P GSCI Tin Spot Index
S&P GSCI Unleaded Gasoline Spot Index
S&P GSCI Wheat Index
S&P GSCI WTI Crude Oil Index
Silver Spot
SPDR S&P Metals & Mining
SPDR S&P Oil & Gas Exp. & Prod.
Documentation
Volatility Analysis
AGARCH