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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, May 3rd, 2024:25.50% (-0.98%)

Analysis last updated: Thursday, May 2, 2024 at 11:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0439	5.54
$α$	0.0801	7.89
$β$	0.8980	82.12
$γ_{1}$	0.0689	3.64
$γ_{2}$	-0.1038	-3.70
$γ_{3}$	0.0430	2.11
$γ_{4}$	-0.0224	-1.00
$γ_{5}$	0.0561	2.23
$γ_{6}$	-0.1089	-3.31

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts