V-Lab
CBOE Crude Oil Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 15th, 2026
1 Day
128.67%
decreased by 11.89%
1 Week
128.18%
decreased by 12.38%
1 Month
127.33%
decreased by 13.23%
Analysis last updated: Tuesday, September 15, 2026 at 12:17 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 10, 2007 to Sep 11, 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 | 0.5756 | 5.64*** |
| αARCH | 0.1364 | 4.76*** |
| βGARCH | 0.7187 | 14.29*** |
Spline Coefficients
K=10
| γ1 | -0.4630 | -2.11** |
| γ2 | 0.7147 | 2.21** |
| γ3 | -0.4582 | -1.89* |
| γ4 | 0.3606 | 1.21 |
| γ5 | -0.3348 | -1.32 |
| γ6 | 0.4665 | 2.42** |
| γ7 | -0.4417 | -1.71* |
| γ8 | -0.0432 | -0.13 |
| γ9 | 0.5575 | 1.81* |
| γ10 | -0.5310 | -3.29*** |
0.855
Persistence4d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5756 | 5.64*** |
α ARCH Response to squared shocks | 0.1364 | 4.76*** |
β GARCH Volatility persistence | 0.7187 | 14.29*** |
Spline Coefficients
K=10
| γ1 | -0.4630 | -2.11** |
| γ2 | 0.7147 | 2.21** |
| γ3 | -0.4582 | -1.89* |
| γ4 | 0.3606 | 1.21 |
| γ5 | -0.3348 | -1.32 |
| γ6 | 0.4665 | 2.42** |
| γ7 | -0.4417 | -1.71* |
| γ8 | -0.0432 | -0.13 |
| γ9 | 0.5575 | 1.81* |
| γ10 | -0.5310 | -3.29*** |
Persistence:
0.855
Half-life:
4 days
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