V-Lab: S&P GSCI Crude Oil Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

S&P GSCI Crude Oil Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 9th, 2025:40.88% (+0.73%)

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
$ω$	0.7849	3.92
$α$	0.0823	8.33
$β$	0.9003	91.83
$γ_{1}$	0.0101	1.07
$γ_{2}$	-0.0260	-2.05
$γ_{3}$	0.0297	4.17
$γ_{4}$	-0.0194	-3.79

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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