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 2nd, 2025:20.31% (-0.01%)

Analysis last updated: Friday, May 30, 2025 at 11:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0447	12.13
$β$	0.8716	108.86
$γ$	0.0544	10.24
$λ_{1}$	0.0155	4.97
$λ_{2}$	0.0286	4.13
$λ_{3}$	0.9663	122.41

Estimation Period:
Jan 6, 1995 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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