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 Monday, June 30th, 2025:32.84% (-1.62%)

Analysis last updated: Saturday, June 28, 2025 at 01:11 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0465	12.75
$β$	0.8707	105.71
$γ$	0.0518	9.84
$λ_{1}$	0.0166	4.92
$λ_{2}$	0.0291	4.01
$λ_{3}$	0.9655	116.21

Estimation Period:
Jan 6, 1995 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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