CBOE Crude Oil Volatility Index

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CBOE Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.8103	3.90***
αARCH	0.0785	8.58***
βGARCH	0.9064	97.87***

γ₁	0.0082	0.93
γ₂	-0.0236	-1.97**
γ₃	0.0333	4.00***
γ₄	-0.0374	-2.75***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8103	3.90***
α ARCH Response to squared shocks	0.0785	8.58***
β GARCH Volatility persistence	0.9064	97.87***

γ₁	0.0082	0.93
γ₂	-0.0236	-1.97**
γ₃	0.0333	4.00***
γ₄	-0.0374	-2.75***

V-Lab

S&P GSCI All Crude Spot Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI All Crude Spot Index Analyses