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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CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0598	13.35***
β GARCH Volatility persistence	0.8688	184.39***
γ leverage Additional response to negative shocks	0.0712	11.32***
λ₁ tau intercept Baseline long-term coefficient	0.0305	9.01***
λ₂ forecast adj. Forecast performance sensitivity	0.0227	6.04***
λ₃ tau persistence Long-term factor persistence	0.9721	221.59***

V-Lab

NY Mercantile WTI Crude Oil MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NY Mercantile WTI Crude Oil Analyses