V-Lab: CBOE Crude Oil Volatility Index Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

CBOE Crude Oil Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:59.77% (-2.92%)

Analysis last updated: Friday, April 26, 2024 at 11:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5041	4.79
$α$	0.1337	4.32
$β$	0.7192	13.06
$γ_{1}$	-0.8985	-3.00
$γ_{2}$	1.4138	2.99
$γ_{3}$	-0.9117	-2.09
$γ_{4}$	0.6434	1.45
$γ_{5}$	-0.3605	-0.98
$γ_{6}$	0.0440	0.14
$γ_{7}$	0.4008	1.52
$γ_{8}$	-0.5784	-1.67
$γ_{9}$	0.0794	0.17
$γ_{10}$	0.3474	0.97

Estimation Period:
May 10, 2007 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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