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

V-Lab

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V-Lab

Invesco DB Oil Fund Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:18.39% (-0.73%)

Analysis last updated: Thursday, May 2, 2024 at 10:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9365	5.66
$α$	0.0894	6.00
$β$	0.8943	54.06
$γ_{1}$	-0.0469	-1.90
$γ_{2}$	0.1047	2.62
$γ_{3}$	-0.1424	-3.81

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts