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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.1957	21.35***
β GARCH Volatility persistence	0.7079	48.23***
γ leverage Additional response to negative shocks	-0.1345	-5.98***
λ₁ tau intercept Baseline long-term coefficient	4.9701	0.36
λ₂ forecast adj. Forecast performance sensitivity	0.2423	0.35
λ₃ tau persistence Long-term factor persistence	0.5944	0.51

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CBOE Crude Oil Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Crude Oil Volatility Index Analyses