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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0395	13.38***
β GARCH Volatility persistence	0.7848	27.83***
γ leverage Additional response to negative shocks	0.0491	8.65***
λ₁ tau intercept Baseline long-term coefficient	0.0220	1.10
λ₂ forecast adj. Forecast performance sensitivity	0.1610	1.04
λ₃ tau persistence Long-term factor persistence	0.8145	4.66***

V-Lab

Invesco DB Agriculture Fund MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco DB Agriculture Fund Analyses