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	0.0619	21.90***
α ARCH Response to squared shocks	0.0928	46.30***
β GARCH Volatility persistence	0.8944	505.57***
γ leverage Additional response to negative shocks	0.4348	15.66***

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S&P GSCI All Crude Spot Index AGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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