V-Lab: CBOE / NYMEX WTI Volatility Index Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

CBOE / NYMEX WTI Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 18th, 2020:300.15% (-35.92%)

Analysis last updated: Saturday, May 16, 2020 at 05:16 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4204	4.34
$α$	0.1408	3.55
$β$	0.6807	9.39
$γ_{1}$	-2.9220	-2.63
$γ_{2}$	3.7583	2.24
$γ_{3}$	-1.0225	-0.90
$γ_{4}$	0.4567	0.50
$γ_{5}$	-0.7102	-0.93
$γ_{6}$	0.7125	0.86
$γ_{7}$	-0.4686	-0.43
$γ_{8}$	0.2065	0.16
$γ_{9}$	1.1229	0.70
$γ_{10}$	-2.1106	-1.41

Estimation Period:
Sep 10, 2010 to May 15, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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