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

V-Lab

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

Volatility Prediction for Friday, May 9th, 2025:38.90% (-0.36%)

Analysis last updated: Thursday, May 8, 2025 at 11:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.0451	17.19
$β$	0.8975	315.69
$γ$	0.0609	18.11
$λ_{1}$	0.0279	10.06
$λ_{2}$	0.0417	10.62
$λ_{3}$	0.9528	211.41

Estimation Period:
Jan 2, 1990 to May 2, 2025

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Volatility Forecasts

Volatility Forecasts