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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3195	16.51***
α ARCH Response to squared shocks	0.1617	10.39***
β GARCH Volatility persistence	0.8105	124.06***
γ leverage Additional response to negative shocks	-0.0970	-3.38***

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CBOE Crude Oil Volatility Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Crude Oil Volatility Index Analyses