V-Lab: CBOE Crude Oil Volatility Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

CBOE Crude Oil Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, July 31st, 2025:83.55% (-5.84%)

Analysis last updated: Thursday, July 31, 2025 at 11:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5349	5.20
$α$	0.1392	4.80
$β$	0.7200	14.71
$γ_{1}$	-0.6743	-2.73
$γ_{2}$	1.0623	2.84
$γ_{3}$	-0.6993	-2.13
$γ_{4}$	0.5282	1.41
$γ_{5}$	-0.3955	-1.31
$γ_{6}$	0.3114	1.24
$γ_{7}$	0.0315	0.12
$γ_{8}$	-0.6138	-2.70
$γ_{9}$	0.7951	4.88
$γ_{10}$	-0.4439	-2.58

Estimation Period:
May 10, 2007 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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