V-Lab: S&P GSCI Unleaded Gasoline Spot Index MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

S&P GSCI Unleaded Gasoline Spot Index MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, November 21st, 2024:29.91% (-0.98%)

Analysis last updated: Thursday, November 21, 2024 at 12:09 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0465	15.16
$β$	0.8932	180.41
$γ$	0.0372	10.80
$λ_{1}$	0.0313	5.51
$λ_{2}$	0.0421	4.72
$λ_{3}$	0.9508	93.24

Estimation Period:
Jan 2, 1990 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other S&P GSCI Unleaded Gasoline Spot Index Analyses
GARCH
GJR-GARCH
EGARCH
AGARCH
GAS-GARCH Student T