V-Lab: S&P GSCI Crude Oil Index MF2-GARCH Volatility Analysis

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V-Lab

S&P GSCI Crude Oil Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 13th, 2024:25.25% (+0.25%)

Analysis last updated: Friday, May 10, 2024 at 11:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.0437	16.59
$β$	0.8981	317.91
$γ$	0.0635	18.68
$λ_{1}$	0.0270	10.04
$λ_{2}$	0.0422	10.76
$λ_{3}$	0.9525	212.09

Estimation Period:
Jan 2, 1990 to May 10, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts