CBOE Crude Oil Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1060	22.27***
α ARCH Response to squared shocks	0.0620	13.27***
β GARCH Volatility persistence	0.8922	293.95***
γ leverage Additional response to negative shocks	0.0603	6.92***

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NY Mercantile WTI Crude Oil GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other NY Mercantile WTI Crude Oil Analyses