V-Lab: Invesco DB Agriculture Fund Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Invesco DB Agriculture Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:23.96% (+3.99%)

Analysis last updated: Monday, April 29, 2024 at 09:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3654	5.21
$α$	0.0592	7.04
$β$	0.9227	87.17
$γ_{1}$	-0.0284	-1.50
$γ_{2}$	0.0674	2.48
$γ_{3}$	-0.0532	-4.00

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Invesco DB Agriculture Fund Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH