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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3619	16.62***
α ARCH Response to squared shocks	0.1616	10.24***
β GARCH Volatility persistence	0.8085	119.78***
γ leverage Additional response to negative shocks	-0.0976	-3.33***

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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