V-Lab
CBOE Crude Oil Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
92.05%
decreased by 1.22%
1 Week
100.44%
increased by 7.17%
1 Month
113.46%
increased by 20.19%
Analysis last updated: Monday, October 5, 2026 at 11:31 AM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 10, 2007 to Oct 2, 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
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.5803 | 5.67*** |
| αARCH | 0.1368 | 4.79*** |
| βGARCH | 0.7181 | 14.32*** |
Spline Coefficients
K=10
| γ1 | -0.4544 | -2.08** |
| γ2 | 0.7020 | 2.18** |
| γ3 | -0.4512 | -1.88* |
| γ4 | 0.3560 | 1.21 |
| γ5 | -0.3327 | -1.32 |
| γ6 | 0.4706 | 2.47** |
| γ7 | -0.4589 | -1.81* |
| γ8 | -0.0117 | -0.03 |
| γ9 | 0.5186 | 1.67* |
| γ10 | -0.4991 | -3.07*** |
0.855
Persistence4d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5803 | 5.67*** |
α ARCH Response to squared shocks | 0.1368 | 4.79*** |
β GARCH Volatility persistence | 0.7181 | 14.32*** |
Spline Coefficients
K=10
| γ1 | -0.4544 | -2.08** |
| γ2 | 0.7020 | 2.18** |
| γ3 | -0.4512 | -1.88* |
| γ4 | 0.3560 | 1.21 |
| γ5 | -0.3327 | -1.32 |
| γ6 | 0.4706 | 2.47** |
| γ7 | -0.4589 | -1.81* |
| γ8 | -0.0117 | -0.03 |
| γ9 | 0.5186 | 1.67* |
| γ10 | -0.4991 | -3.07*** |
Persistence:
0.855
Half-life:
4 days
Other CBOE Crude Oil Volatility Index Analyses
Other Zero Slope Spline-GARCH Analyses on Volatility Indices