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

V-Lab

| |

V-Lab

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

Volatility Prediction for Wednesday, January 22nd, 2025:16.66% (-0.22%)

Analysis last updated: Wednesday, January 22, 2025 at 12:22 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.0530	19.99
$β$	0.9593	439.84
$γ$	-0.0282	-10.58
$λ_{1}$	0.0006	28.48
$λ_{2}$	0.0000	0.10
$λ_{3}$	0.9999	9173.10

Estimation Period:
Jan 2, 1990 to Jan 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other S&P GSCI Precious Metals Spot Index Analyses
GARCH
GJR-GARCH
EGARCH
AGARCH
GAS-GARCH Student T