CBOE Crude Oil Volatility Index

CBOE Energy ETF Volatility Index

CBOE Volatility Index

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CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0752	20.11***
α ARCH Response to squared shocks	0.0572	13.38***
β GARCH Volatility persistence	0.9070	307.97***
γ leverage Additional response to negative shocks	0.0426	6.02***

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S&P GSCI Brent Crude Oil Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Brent Crude Oil Index Analyses