CBOE Crude Oil Volatility Index

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	param	t-stat
$m$	21
$α$	0.0858	9.88
$β$	0.7264	16.91
$γ$	-0.0792	-7.51
$λ_{1}$	0.5874	0.43
$λ_{2}$	0.3084	0.46
$λ_{3}$	0.6422	0.83

V-Lab

S&P GSCI Natural Gas Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Natural Gas Index Analyses