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

V-Lab

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V-Lab

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

Volatility Prediction for Tuesday, November 5th, 2024:35.44% (-0.09%)

Analysis last updated: Tuesday, November 5, 2024 at 12:01 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0464	15.16
$β$	0.8935	181.49
$γ$	0.0373	10.83
$λ_{1}$	0.0313	5.54
$λ_{2}$	0.0421	4.73
$λ_{3}$	0.9509	93.67

Estimation Period:
Jan 2, 1990 to Nov 1, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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