Invesco DB Agriculture Fund APARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
11.57%
1 Week
11.63%
1 Month
11.88%
Analysis last updated: Friday, October 16, 2026 at 10:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 5, 2007 to Oct 16, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 114 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.83 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0063 | 3.38*** |
| αARCH | 0.0616 | 6.73*** |
| βGARCH | 0.9358 | 120.32*** |
| γleverage | -0.0212 | -0.40 |
| δpower | 1.8304 | 5.64*** |
0.994
Persistence114d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0063 | 3.38*** |
α ARCH Response to squared shocks | 0.0616 | 6.73*** |
β GARCH Volatility persistence | 0.9358 | 120.32*** |
γ leverage Additional response to negative shocks | -0.0212 | -0.40 |
δ power Transformation power | 1.8304 | 5.64*** |
Persistence:
0.994
Half-life:
114 days
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