V-Lab: S&P GSCI WTI Crude Oil Index MF2-GARCH Volatility Analysis

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S&P GSCI WTI Crude Oil Index MF2-GARCH Volatility Analysis

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Analysis last updated: Tuesday, November 23, 2021 at 10:58 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.0052	1.92
$β$	0.9109	268.55
$γ$	0.1037	26.58
$λ_{1}$	0.0270	6.20
$λ_{2}$	0.0403	6.21
$λ_{3}$	0.9532	127.24

Estimation Period:
Jan 15, 2002 to Nov 19, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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