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, July 11th, 2025:112.28% (-8.87%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5341	5.18
$α$	0.1387	4.79
$β$	0.7214	14.80
$γ_{1}$	-0.6810	-2.74
$γ_{2}$	1.0736	2.85
$γ_{3}$	-0.7075	-2.13
$γ_{4}$	0.5341	1.42
$γ_{5}$	-0.3971	-1.31
$γ_{6}$	0.3045	1.21
$γ_{7}$	0.0466	0.18
$γ_{8}$	-0.6237	-2.86
$γ_{9}$	0.7881	4.70
$γ_{10}$	-0.4325	-2.34

Estimation Period:
May 10, 2007 to Jul 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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