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, August 11th, 2025:89.02% (-4.08%)

Analysis last updated: Monday, August 11, 2025 at 11:31 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5356	5.22
$α$	0.1382	4.76
$β$	0.7200	14.58
$γ_{1}$	-0.6663	-2.72
$γ_{2}$	1.0494	2.84
$γ_{3}$	-0.6904	-2.13
$γ_{4}$	0.5217	1.41
$γ_{5}$	-0.3930	-1.32
$γ_{6}$	0.3163	1.27
$γ_{7}$	0.0192	0.07
$γ_{8}$	-0.6087	-2.58
$γ_{9}$	0.8126	5.08
$γ_{10}$	-0.4688	-2.93

Estimation Period:
May 10, 2007 to Aug 8, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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