CBOE Crude Oil Volatility Index

CBOE Energy ETF Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.3891	5.41***
α ARCH Response to squared shocks	0.0631	39.37***
β GARCH Volatility persistence	0.9915	602.01***
ν DF Student-t tail thickness	6.7273	6.18***

V-Lab

S&P GSCI Brent Crude Oil Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Brent Crude Oil Index Analyses