V-Lab: Invesco DB Commodity Index Tracking Fund Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Invesco DB Commodity Index Tracking Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:13.94% (-0.21%)

Analysis last updated: Thursday, May 2, 2024 at 10:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9458	5.28
$α$	0.0579	5.64
$β$	0.9288	77.48
$γ_{1}$	-0.0524	-2.39
$γ_{2}$	0.0920	2.91
$γ_{3}$	-0.0544	-3.57

Estimation Period:
Feb 3, 2006 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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