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

V-Lab

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

Volatility Prediction for Friday, July 4th, 2025:44.72% (-1.85%)

Analysis last updated: Friday, July 4, 2025 at 01:20 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0614	23.41
$α$	0.0601	15.07
$β$	0.9101	433.18
$γ$	0.0400	5.95

Estimation Period:
Jan 2, 1990 to Jun 27, 2025

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Volatility Forecasts

Volatility Forecasts