V-Lab
V-Lab

CBOE Crude Oil Volatility Index Spline-GARCH Volatility Analysis
Volatility Prediction for Friday, November 8th, 2024:92.88% (-3.15%)

Analysis last updated: Friday, November 8, 2024 at 12:39 PM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

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10Y ·

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graph of CBOE Crude Oil Volatility Index SGARCH
paramt-stat
ω0.51174.93
α0.13804.52
β0.714013.26
γ1-0.8444-3.11
γ21.33423.16
γ3-0.8771-2.27
γ40.64901.58
γ5-0.4302-1.29
γ60.20670.75
γ70.20300.89
γ8-0.5166-1.96
γ90.12350.27
γ100.69550.98
Estimation Period:
May 10, 2007 to Nov 1, 2024
Impact of return on volatility tomorrow
Volatility Forecasts