CBOE Crude Oil Volatility Index Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
70.56%
decreased by 1.29%
1 Week
76.91%
increased by 5.06%
1 Month
86.60%
increased by 14.75%
Analysis last updated: Friday, October 9, 2026 at 11:30 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 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
Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.5644 | 5.61*** |
| αARCH | 0.1370 | 4.73*** |
| βGARCH | 0.7137 | 13.69*** |
Spline Coefficients
K=10
| γ1 | -0.4898 | -2.27** |
| γ2 | 0.7582 | 2.38** |
| γ3 | -0.4886 | -2.05** |
| γ4 | 0.3858 | 1.32 |
| γ5 | -0.3545 | -1.41 |
| γ6 | 0.4800 | 2.53** |
| γ7 | -0.4488 | -1.76* |
| γ8 | -0.0588 | -0.17 |
| γ9 | 0.6525 | 1.90* |
| γ10 | -0.8696 | -2.48** |
0.851
Persistence4d
Half-lifeτ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5644 | 5.61*** |
α ARCH Response to squared shocks | 0.1370 | 4.73*** |
β GARCH Volatility persistence | 0.7137 | 13.69*** |
Spline Coefficients
K=10
| γ1 | -0.4898 | -2.27** |
| γ2 | 0.7582 | 2.38** |
| γ3 | -0.4886 | -2.05** |
| γ4 | 0.3858 | 1.32 |
| γ5 | -0.3545 | -1.41 |
| γ6 | 0.4800 | 2.53** |
| γ7 | -0.4488 | -1.76* |
| γ8 | -0.0588 | -0.17 |
| γ9 | 0.6525 | 1.90* |
| γ10 | -0.8696 | -2.48** |
Persistence:
0.851
Half-life:
4 days
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