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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	86
α ARCH Response to squared shocks	0.0399	11.38***
β GARCH Volatility persistence	0.8864	175.32***
γ leverage Additional response to negative shocks	0.0379	9.09***
λ₁ tau intercept Baseline long-term coefficient	0.1275	2.95***
λ₂ forecast adj. Forecast performance sensitivity	0.7100	4.59***
λ₃ tau persistence Long-term factor persistence	0.2016	1.09

V-Lab

Invesco DB Commodity Index Tracking Fund MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco DB Commodity Index Tracking Fund Analyses