V-Lab: Invesco DB Commodity Index Tracking Fund MF2-GARCH Volatility Analysis

V-Lab

Invesco DB Commodity Index Tracking Fund MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, July 2nd, 2025:22.01% (-0.84%)

Analysis last updated: Tuesday, July 1, 2025 at 09:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.0333	8.21
$β$	0.8729	148.38
$γ$	0.0500	10.18
$λ_{1}$	0.1620	5.54
$λ_{2}$	0.8843	13.19
$λ_{3}$	0.0000	0.00

Estimation Period:
Feb 3, 2006 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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