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

V-Lab

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V-Lab

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

Volatility Prediction for Wednesday, January 15th, 2025:29.25% (+0.05%)

Analysis last updated: Wednesday, January 15, 2025 at 12:21 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7943	3.94
$α$	0.0820	8.30
$β$	0.9008	91.88
$γ_{1}$	0.0112	1.16
$γ_{2}$	-0.0278	-2.15
$γ_{3}$	0.0307	4.17
$γ_{4}$	-0.0197	-3.68

Estimation Period:
Jan 2, 1990 to Jan 10, 2025

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Volatility Forecasts

Volatility Forecasts