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 Friday, May 30th, 2025:79.57% (-5.95%)

Analysis last updated: Friday, May 30, 2025 at 11:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5352	5.10
$α$	0.1370	4.85
$β$	0.7294	15.71
$γ_{1}$	-0.7021	-2.74
$γ_{2}$	1.1090	2.84
$γ_{3}$	-0.7344	-2.11
$γ_{4}$	0.5552	1.43
$γ_{5}$	-0.4077	-1.31
$γ_{6}$	0.2944	1.14
$γ_{7}$	0.0734	0.29
$γ_{8}$	-0.6170	-3.13
$γ_{9}$	0.6958	3.67
$γ_{10}$	-0.3162	-1.49

Estimation Period:
May 10, 2007 to May 23, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other CBOE Crude Oil Volatility Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH