V-Lab: Invesco DB Energy Fund GJR-GARCH Volatility Analysis

V-Lab

Invesco DB Energy Fund GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 1st, 2025:35.73% (-1.52%)

Analysis last updated: Monday, June 30, 2025 at 09:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0380	14.79
$α$	0.0530	8.44
$β$	0.9132	243.32
$γ$	0.0457	5.12

Estimation Period:
Jan 5, 2007 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts