V-Lab
Invesco DB Commodity Index Tracking Fund Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
23.71%
decreased by 0.81%
1 Week
23.68%
decreased by 0.84%
1 Month
23.53%
decreased by 0.99%
Analysis last updated: Friday, August 7, 2026 at 10:15 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 3, 2006 to Aug 7, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 89 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0161 | 5.72*** |
α ARCH Response to squared shocks | 0.0633 | 6.83*** |
β GARCH Volatility persistence | 0.9290 | 96.58*** |
Spline Coefficients
K=1
| γ1 | -0.0003 | -0.28 |
Persistence:
0.992
Half-life:
89 days
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