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

V-Lab

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V-Lab

Invesco DB Energy Fund Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:15.78% (-0.43%)

Analysis last updated: Friday, April 26, 2024 at 10:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9240	6.19
$α$	0.0730	5.80
$β$	0.9116	60.29
$γ_{1}$	-0.0486	-1.87
$γ_{2}$	0.1068	2.50
$γ_{3}$	-0.1300	-3.23

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts