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 Monday, June 30th, 2025:128.37% (-16.02%)

Analysis last updated: Monday, June 30, 2025 at 11:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5344	5.18
$α$	0.1384	4.80
$β$	0.7229	14.89
$γ_{1}$	-0.6808	-2.73
$γ_{2}$	1.0734	2.84
$γ_{3}$	-0.7078	-2.12
$γ_{4}$	0.5346	1.41
$γ_{5}$	-0.3980	-1.31
$γ_{6}$	0.3056	1.21
$γ_{7}$	0.0459	0.17
$γ_{8}$	-0.6236	-2.85
$γ_{9}$	0.7891	4.68
$γ_{10}$	-0.4348	-2.33

Estimation Period:
May 10, 2007 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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