Skip to main content
V-Lab

Invesco DB Commodity Index Tracking Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility prediction for Tuesday, July 21st, 2026

1 Day

20.84%

decreased by 0.58%

1 Week

20.84%

decreased by 0.58%

1 Month

20.85%

decreased by 0.57%

Analysis last updated: Monday, July 20, 2026 at 09:37 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Invesco DB Commodity Index Tracking Fund S0GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Feb 3, 2006 to Jul 17, 2026

Model Insight

With persistence 0.992, volatility shocks have a half-life of 87 trading days (~0.3 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

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.0165
5.77***
α

ARCH

Response to squared shocks

0.0631
6.80***
β

GARCH

Volatility persistence

0.9290
96.34***
γi Spline Coefficients
K=1
γ1-0.0002
-0.25

Persistence:

0.992

Half-life:

87 days