V-Lab: Invesco DB Agriculture Fund Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Invesco DB Agriculture Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:26.41% (-0.18%)

Analysis last updated: Thursday, May 2, 2024 at 09:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3654	5.21
$α$	0.0592	7.04
$β$	0.9227	87.17
$γ_{1}$	-0.0284	-1.50
$γ_{2}$	0.0674	2.48
$γ_{3}$	-0.0532	-4.00

Estimation Period:
Jan 5, 2007 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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