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, May 19th, 2025:72.56% (-3.36%)

Analysis last updated: Monday, May 19, 2025 at 11:31 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5354	5.09
$α$	0.1373	4.85
$β$	0.7295	15.75
$γ_{1}$	-0.7033	-2.74
$γ_{2}$	1.1109	2.85
$γ_{3}$	-0.7355	-2.11
$γ_{4}$	0.5563	1.43
$γ_{5}$	-0.4091	-1.31
$γ_{6}$	0.2968	1.15
$γ_{7}$	0.0688	0.27
$γ_{8}$	-0.6081	-3.08
$γ_{9}$	0.6787	3.55
$γ_{10}$	-0.2981	-1.38

Estimation Period:
May 10, 2007 to May 16, 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