V-Lab: S&P GSCI Light Energy Spot Index MF2-GARCH Volatility Analysis

V-Lab

S&P GSCI Light Energy Spot Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, September 22nd, 2025:-0.00% (-10.09%)

Analysis last updated: Saturday, September 20, 2025 at 12:44 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.7068	7,067,550.00
$β$	0.0432	432,450.00
$γ$	0.5000	5,000,000.00
$λ_{1}$	0.0767	53.26
$λ_{2}$	0.9423	9,423,430.00
$λ_{3}$	0.0000	0.03

Estimation Period:
Jan 2, 1990 to Sep 19, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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