CBOE Energy ETF Volatility Index

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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0232	13.51***
α ARCH Response to squared shocks	0.1682	21.73***
β GARCH Volatility persistence	0.9820	842.94***
γ leverage Additional response to negative shocks	-0.0349	-5.58***

V-Lab

Invesco DB Energy Fund EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco DB Energy Fund Analyses