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 Tuesday, March 11th, 2025:175.96% (+4.10%)

Analysis last updated: Tuesday, March 11, 2025 at 11:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5347	5.00
$α$	0.1357	4.85
$β$	0.7345	15.88
$γ_{1}$	-0.7392	-2.78
$γ_{2}$	1.1704	2.87
$γ_{3}$	-0.7786	-2.11
$γ_{4}$	0.5883	1.45
$γ_{5}$	-0.4202	-1.29
$γ_{6}$	0.2683	1.01
$γ_{7}$	0.1260	0.52
$γ_{8}$	-0.6114	-3.31
$γ_{9}$	0.5606	2.25
$γ_{10}$	-0.1520	-0.58

Estimation Period:
May 10, 2007 to Mar 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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