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 Thursday, May 8th, 2025:106.74% (-12.26%)

Analysis last updated: Thursday, May 8, 2025 at 11:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5345	5.06
$α$	0.1372	4.86
$β$	0.7308	15.89
$γ_{1}$	-0.7106	-2.75
$γ_{2}$	1.1229	2.85
$γ_{3}$	-0.7443	-2.11
$γ_{4}$	0.5631	1.43
$γ_{5}$	-0.4119	-1.31
$γ_{6}$	0.2916	1.12
$γ_{7}$	0.0813	0.32
$γ_{8}$	-0.6125	-3.18
$γ_{9}$	0.6620	3.27
$γ_{10}$	-0.2758	-1.22

Estimation Period:
May 10, 2007 to May 2, 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