V-Lab
V-Lab
Invesco DB Commodity Index Tracking Fund GJR-GARCH Volatility Analysis
Volatility Prediction for Tuesday, December 24th, 2024:25.70% (+11.98%)

Analysis last updated: Monday, December 23, 2024 at 10:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Invesco DB Commodity Index Tracking Fund GJR-GARCH
paramt-stat
ω0.011614.08
α0.049310.64
β0.9317349.89
γ0.02353.60
Estimation Period:
Feb 3, 2006 to Dec 20, 2024
Impact of return on volatility tomorrow
Volatility Forecasts