V-Lab: iShares S&P GSCI Commodity Indexed Trust Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

iShares S&P GSCI Commodity Indexed Trust Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:14.66% (-0.45%)

Analysis last updated: Thursday, May 2, 2024 at 09:42 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9607	6.19
$α$	0.0664	5.16
$β$	0.9176	62.09
$γ_{1}$	-0.0581	-2.63
$γ_{2}$	0.1173	3.27
$γ_{3}$	-0.1240	-3.76

Estimation Period:
Jul 21, 2006 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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