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

V-Lab

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V-Lab

Invesco DB Energy Fund GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 24th, 2024:37.87% (+19.99%)

Analysis last updated: Monday, December 23, 2024 at 10:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0374	14.40
$α$	0.0512	7.92
$β$	0.9090	240.61
$γ$	0.0578	6.28

Estimation Period:
Jan 5, 2007 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts