V-Lab: S&P GSCI Crude Oil Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

S&P GSCI Crude Oil Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:29.88% (+4.46%)

Analysis last updated: Thursday, May 2, 2024 at 12:12 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8126	4.07
$α$	0.0823	8.19
$β$	0.9000	89.31
$γ_{1}$	0.0140	1.43
$γ_{2}$	-0.0329	-2.48
$γ_{3}$	0.0350	4.39
$γ_{4}$	-0.0227	-3.79

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts