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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0355	15.37***
α ARCH Response to squared shocks	0.0808	25.60***
β GARCH Volatility persistence	0.9110	287.65***

V-Lab

Invesco DB Energy Fund GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco DB Energy Fund Analyses