CBOE Crude Oil Volatility Index

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CBOE 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	5.5677	5.05***
α ARCH Response to squared shocks	0.0560	51.62***
β GARCH Volatility persistence	0.9949	997.90***
ν DF Student-t tail thickness	6.5805	8.27***

V-Lab

S&P GSCI Petroleum Spot Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Petroleum Spot Index Analyses