CBOE Crude Oil Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0631	24.72***
α ARCH Response to squared shocks	0.0668	15.99***
β GARCH Volatility persistence	0.9075	430.73***
γ leverage Additional response to negative shocks	0.0320	4.65***

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

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Crude Oil Index Analyses