CBOE Crude Oil Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, November 5th, 2026
1 Day
90.72%
increased by 0.84%
1 Week
94.93%
increased by 5.05%
1 Month
101.94%
increased by 12.06%
Analysis last updated: Thursday, November 5, 2026 at 12:30 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 10, 2007 to Oct 30, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 5 trading days.
τ
Zero Slope Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.5839 | 5.64*** |
| αARCH | 0.1369 | 4.91*** |
| βGARCH | 0.7231 | 15.22*** |
Spline Coefficients
K=10
| γ1 | -0.4422 | -2.01** |
| γ2 | 0.6797 | 2.09** |
| γ3 | -0.4329 | -1.81* |
| γ4 | 0.3416 | 1.16 |
| γ5 | -0.3232 | -1.27 |
| γ6 | 0.4730 | 2.52** |
| γ7 | -0.4865 | -1.97** |
| γ8 | 0.0427 | 0.13 |
| γ9 | 0.4521 | 1.43 |
| γ10 | -0.4489 | -2.69*** |
0.860
Persistence5d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5839 | 5.64*** |
α ARCH Response to squared shocks | 0.1369 | 4.91*** |
β GARCH Volatility persistence | 0.7231 | 15.22*** |
Spline Coefficients
K=10
| γ1 | -0.4422 | -2.01** |
| γ2 | 0.6797 | 2.09** |
| γ3 | -0.4329 | -1.81* |
| γ4 | 0.3416 | 1.16 |
| γ5 | -0.3232 | -1.27 |
| γ6 | 0.4730 | 2.52** |
| γ7 | -0.4865 | -1.97** |
| γ8 | 0.0427 | 0.13 |
| γ9 | 0.4521 | 1.43 |
| γ10 | -0.4489 | -2.69*** |
Persistence:
0.860
Half-life:
5 days
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