V-Lab: CBOE Crude Oil Volatility Index Spline-GARCH Volatility Analysis

V-Lab

CBOE Crude Oil Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 15th, 2025:168.31% (+1.27%)

Analysis last updated: Tuesday, July 15, 2025 at 11:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5183	5.19
$α$	0.1376	4.52
$β$	0.7110	12.90
$γ_{1}$	-0.7150	-2.96
$γ_{2}$	1.1276	3.08
$γ_{3}$	-0.7429	-2.30
$γ_{4}$	0.5631	1.54
$γ_{5}$	-0.4251	-1.44
$γ_{6}$	0.3424	1.41
$γ_{7}$	-0.0319	-0.13
$γ_{8}$	-0.4480	-2.20
$γ_{9}$	0.3910	2.21
$γ_{10}$	0.6393	1.88

Estimation Period:
May 10, 2007 to Jul 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other CBOE Crude Oil Volatility Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH