CBOE Energy ETF Volatility Index

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CBOE Skew Index

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	0.0349	15.03***
α ARCH Response to squared shocks	0.0584	10.48***
β GARCH Volatility persistence	0.9155	275.08***
γ leverage Additional response to negative shocks	0.0339	4.16***

V-Lab

Invesco DB Energy Fund GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco DB Energy Fund Analyses