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

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V-Lab

CBOE / NYMEX WTI Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 18th, 2020:402.29% (-31.40%)

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
$ω$	0.4472	5.44
$α$	0.1151	3.86
$β$	0.7152	10.34
$γ_{1}$	-1.9233	-3.41
$γ_{2}$	2.6749	3.28
$γ_{3}$	-0.9660	-1.88
$γ_{4}$	0.2345	0.47
$γ_{5}$	-0.1791	-0.36
$γ_{6}$	0.4166	0.70
$γ_{7}$	-0.4937	-0.56
$γ_{8}$	2.2453	1.11

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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