CBOE Crude Oil Volatility Index

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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	0.1116	24.04***
α ARCH Response to squared shocks	0.0974	28.89***
β GARCH Volatility persistence	0.8869	278.98***

V-Lab

NY Mercantile WTI Crude Oil GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NY Mercantile WTI Crude Oil Analyses