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

V-Lab

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V-Lab

S&P GSCI Zinc Index Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:25.60% (-0.49%)

Analysis last updated: Tuesday, April 30, 2024 at 11:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7167	5.19
$α$	0.0430	3.71
$β$	0.9219	49.30
$γ_{1}$	-0.1130	-1.35
$γ_{2}$	0.2065	1.59
$γ_{3}$	-0.1720	-2.12
$γ_{4}$	0.1812	2.79
$γ_{5}$	-0.1247	-2.42
$γ_{6}$	-0.1148	-2.61
$γ_{7}$	0.2633	5.91
$γ_{8}$	-0.1723	-3.35
$γ_{9}$	0.0863	1.58
$γ_{10}$	-0.0967	-1.39

Estimation Period:
Jan 7, 1991 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts