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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1048	22.32***
α ARCH Response to squared shocks	0.0629	13.56***
β GARCH Volatility persistence	0.8923	296.85***
γ leverage Additional response to negative shocks	0.0589	6.79***

V-Lab

NY Mercantile WTI Crude Oil GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NY Mercantile WTI Crude Oil Analyses