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, July 4th, 2025:44.57% (-1.88%)

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
$ω$	0.7811	3.92
$α$	0.0828	8.38
$β$	0.8996	91.51
$γ_{1}$	0.0097	1.03
$γ_{2}$	-0.0253	-2.02
$γ_{3}$	0.0293	4.20
$γ_{4}$	-0.0195	-3.87

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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