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

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V-Lab

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

Volatility Prediction for Tuesday, May 21st, 2024:22.63% (-0.55%)

Analysis last updated: Monday, May 20, 2024 at 11:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.0438	16.64
$β$	0.8981	318.47
$γ$	0.0633	18.65
$λ_{1}$	0.0274	10.08
$λ_{2}$	0.0426	10.83
$λ_{3}$	0.9520	211.08

Estimation Period:
Jan 2, 1990 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts