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

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V-Lab

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

Volatility Prediction for Monday, December 30th, 2024:61.98% (-4.03%)

Analysis last updated: Monday, December 30, 2024 at 12:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5269	5.04
$α$	0.1379	4.65
$β$	0.7163	13.87
$γ_{1}$	-0.7792	-2.93
$γ_{2}$	1.2315	3.00
$γ_{3}$	-0.8118	-2.17
$γ_{4}$	0.6035	1.50
$γ_{5}$	-0.4084	-1.26
$γ_{6}$	0.2147	0.81
$γ_{7}$	0.1963	0.88
$γ_{8}$	-0.6079	-3.10
$γ_{9}$	0.4237	1.39
$γ_{10}$	0.0096	0.03

Estimation Period:
May 10, 2007 to Dec 27, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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