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V-Lab

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

Volatility prediction for Thursday, October 8th, 2026

1 Day

37.21%

decreased by 0.76%

1 Week

37.34%

decreased by 0.63%

1 Month

38.03%

increased by 0.06%

Analysis last updated: Wednesday, October 7, 2026 at 11:05 PM UTC

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Date Range:

from

10/07/2024

to

10/07/2026

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P GSCI Crude Oil Index MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Oct 2, 2026

Model Insight

This asset exhibits a notable leverage effect: negative returns increase next-day volatility 77% more than equivalent positive returns.

σ

MF2-GARCH Model

Tap to view equation

Leverage: Negative returns increase volatility 77% more than positive returns
ParamValuet-stat
mwindow126
αARCH0.0580
4.67***
βGARCH0.8936
84.06***
γleverage0.0447
3.04***
λ₁tau intercept0.0283
0.91
λ₂forecast adj.0.0412
1.30
λ₃tau persistence0.9537
26.14***

0.974

Persistence

26d

Half-life
σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

126
α

ARCH

Response to squared shocks

0.0580
4.67***
β

GARCH

Volatility persistence

0.8936
84.06***
γ

leverage

Additional response to negative shocks

0.0447
3.04***
λ₁

tau intercept

Baseline long-term coefficient

0.0283
0.91
λ₂

forecast adj.

Forecast performance sensitivity

0.0412
1.30
λ₃

tau persistence

Long-term factor persistence

0.9537
26.14***

Persistence:

0.974

Half-life:

26 days