V-Lab
CBOE / NYMEX WTI Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Monday, May 18th, 2020:334.03% (-50.07%)
Analysis last updated: Monday, March 1, 2021 at 05:31 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 3.9117 | 16.73 | |
| 0.2229 | 6.24 | |
| 0.6587 | 33.05 | |
| 0.0555 | 0.32 |
Estimation Period:
Sep 10, 2010 to May 15, 2020
Sep 10, 2010 to May 15, 2020
News Impact Curve
Volatility Forecasts
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