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

V-Lab

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V-Lab

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

Volatility Prediction for Thursday, November 21st, 2024:16.99% (-0.14%)

Analysis last updated: Thursday, November 21, 2024 at 12:09 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.0529	19.94
$β$	0.9593	439.85
$γ$	-0.0279	-10.45
$λ_{1}$	0.0006	28.67
$λ_{2}$	0.0000	0.09
$λ_{3}$	0.9999	9007.80

Estimation Period:
Jan 2, 1990 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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