Invesco DB Commodity Index Tracking Fund APARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
20.72%
1 Week
20.72%
1 Month
20.72%
Analysis last updated: Wednesday, July 15, 2026 at 09:56 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 3, 2006 to Jul 10, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 71 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.55 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 36% more than positive returns
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0148 | 15.70*** |
α ARCH Response to squared shocks | 0.0707 | 23.15*** |
β GARCH Volatility persistence | 0.9284 | 325.42*** |
γ leverage Additional response to negative shocks | 0.0984 | 4.23*** |
δ power Transformation power | 1.5524 | 28.25*** |
Persistence:
0.990
Half-life:
71 days
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