CBOE Crude Oil Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
59.82%
decreased by 3.75%
1 Week
62.26%
decreased by 1.31%
1 Month
69.43%
increased by 5.86%
Analysis last updated: Friday, October 9, 2026 at 11:30 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 10, 2007 to Oct 2, 2026Model Insight
Volatility shocks decay with a half-life of 19 trading days, meaning a shock loses half its impact after approximately 19 days. Returns follow a Student-t distribution with v = 4.24 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 19-day half-lifev = 4.24 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 31.0963 | 1.61 |
| αARCH | 0.0896 | 5.92*** |
| βGARCH | 0.9637 | 45.80*** |
| νDF | 4.2372 | 1.99** |
0.964
Persistence19d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 31.0963 | 1.61 |
α ARCH Response to squared shocks | 0.0896 | 5.92*** |
β GARCH Volatility persistence | 0.9637 | 45.80*** |
ν DF Student-t tail thickness | 4.2372 | 1.99** |
Persistence:
0.964
Half-life:
19 days
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