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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0064	14.20***
α ARCH Response to squared shocks	0.0623	18.51***
β GARCH Volatility persistence	0.9365	494.43***
γ leverage Additional response to negative shocks	-0.0101	-1.91*

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Invesco DB Agriculture Fund GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco DB Agriculture Fund Analyses