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 Tuesday, April 30th, 2024:25.73% (+0.33%)

Analysis last updated: Monday, April 29, 2024 at 11:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8126	4.07
$α$	0.0823	8.19
$β$	0.9000	89.31
$γ_{1}$	0.0140	1.43
$γ_{2}$	-0.0329	-2.48
$γ_{3}$	0.0350	4.39
$γ_{4}$	-0.0227	-3.79

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts