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 Friday, May 16th, 2025:133.26% (-2.24%)

Analysis last updated: Friday, May 16, 2025 at 11:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5166	5.13
$α$	0.1368	4.49
$β$	0.7125	12.94
$γ_{1}$	-0.7447	-3.01
$γ_{2}$	1.1759	3.12
$γ_{3}$	-0.7759	-2.30
$γ_{4}$	0.5865	1.56
$γ_{5}$	-0.4329	-1.43
$γ_{6}$	0.3221	1.30
$γ_{7}$	0.0072	0.03
$γ_{8}$	-0.4398	-2.42
$γ_{9}$	0.2668	1.17
$γ_{10}$	0.8505	1.96

Estimation Period:
May 10, 2007 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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