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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 3, 2006 to Jul 17, 2026Model 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
| Parameter | Value | t-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*** |
Spline Coefficients
K=1
| γ1 | -0.0002 | -0.25 |
Persistence:
0.992
Half-life:
87 days
Other Invesco DB Commodity Index Tracking Fund Analyses
Other Zero Slope Spline-GARCH Analyses on ETFs