CBOE Crude Oil Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

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CBOE Russell 2000 Volatility Index

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CBOE Skew Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7559	3.75***
α ARCH Response to squared shocks	0.0842	8.58***
β GARCH Volatility persistence	0.8990	93.67***

γ₁	0.0064	0.71
γ₂	-0.0195	-1.61
γ₃	0.0251	3.92***
γ₄	-0.0173	-3.84***

V-Lab

S&P GSCI Crude Oil Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Crude Oil Index Analyses