V-Lab: S&P GSCI Zinc Index MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

S&P GSCI Zinc Index MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 21st, 2024:26.04% (+1.66%)

Analysis last updated: Monday, May 20, 2024 at 11:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0833	9.77
$β$	0.6615	24.18
$γ$	-0.0151	-1.94
$λ_{1}$	0.0062	0.80
$λ_{2}$	0.0254	1.73
$λ_{3}$	0.9725	62.15

Estimation Period:
Jan 7, 1991 to May 17, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts