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

V-Lab

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

Volatility Prediction for Thursday, September 18th, 2025:18.52% (-0.07%)

Analysis last updated: Wednesday, September 17, 2025 at 11:42 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0476	13.11
$β$	0.8700	107.61
$γ$	0.0508	9.82
$λ_{1}$	0.0155	5.03
$λ_{2}$	0.0279	4.20
$λ_{3}$	0.9670	127.24

Estimation Period:
Jan 6, 1995 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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