CBOE Crude Oil Volatility Index

CBOE Energy ETF Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

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CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0038	16.15***
α ARCH Response to squared shocks	0.0529	21.14***
β GARCH Volatility persistence	0.9425	677.07***
γ leverage Additional response to negative shocks	0.0024	0.59

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S&P GSCI Light Energy Spot Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Light Energy Spot Index Analyses