CBOE Crude Oil Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
88.70%
decreased by 0.61%
1 Week
97.66%
increased by 8.35%
1 Month
111.56%
increased by 22.25%
Analysis last updated: Monday, October 12, 2026 at 11:31 AM 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 9, 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 4 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 | 0.5789 | 5.63*** |
| αARCH | 0.1369 | 4.84*** |
| βGARCH | 0.7201 | 14.66*** |
Spline Coefficients
K=10
| γ1 | -0.4510 | -2.05** |
| γ2 | 0.6938 | 2.14** |
| γ3 | -0.4423 | -1.85* |
| γ4 | 0.3486 | 1.19 |
| γ5 | -0.3271 | -1.29 |
| γ6 | 0.4698 | 2.49** |
| γ7 | -0.4695 | -1.88* |
| γ8 | 0.0105 | 0.03 |
| γ9 | 0.4941 | 1.58 |
| γ10 | -0.4850 | -2.93*** |
0.857
Persistence4d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5789 | 5.63*** |
α ARCH Response to squared shocks | 0.1369 | 4.84*** |
β GARCH Volatility persistence | 0.7201 | 14.66*** |
Spline Coefficients
K=10
| γ1 | -0.4510 | -2.05** |
| γ2 | 0.6938 | 2.14** |
| γ3 | -0.4423 | -1.85* |
| γ4 | 0.3486 | 1.19 |
| γ5 | -0.3271 | -1.29 |
| γ6 | 0.4698 | 2.49** |
| γ7 | -0.4695 | -1.88* |
| γ8 | 0.0105 | 0.03 |
| γ9 | 0.4941 | 1.58 |
| γ10 | -0.4850 | -2.93*** |
Persistence:
0.857
Half-life:
4 days
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