V-Lab: MV Oil Trust Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

MV Oil Trust Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 13th, 2024:46.44% (+18.00%)

Analysis last updated: Friday, May 10, 2024 at 10:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5452	2.26
$α$	0.2310	5.87
$β$	0.7270	21.55
$γ_{1}$	-0.4565	-1.54
$γ_{2}$	0.5763	1.48
$γ_{3}$	-0.1918	-0.98
$γ_{4}$	0.3452	1.97
$γ_{5}$	-0.6280	-3.97
$γ_{6}$	0.6672	3.64
$γ_{7}$	-0.6375	-3.08
$γ_{8}$	0.4778	2.95

Estimation Period:
Jan 19, 2007 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts