V-Lab: Invesco DB Energy Fund MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Invesco DB Energy Fund MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:16.94% (-0.50%)

Analysis last updated: Friday, April 26, 2024 at 10:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0328	5.39
$β$	0.8841	131.13
$γ$	0.0837	11.09
$λ_{1}$	0.0158	5.44
$λ_{2}$	0.0430	4.52
$λ_{3}$	0.9514	90.76

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts