CBOE Energy ETF Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE S&P 500 6-Month 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
m window Rolling window length	71
α ARCH Response to squared shocks	0.0558	12.83***
β GARCH Volatility persistence	0.8813	131.34***
γ leverage Additional response to negative shocks	0.0525	9.24***
λ₁ tau intercept Baseline long-term coefficient	0.0190	5.93***
λ₂ forecast adj. Forecast performance sensitivity	0.0383	4.23***
λ₃ tau persistence Long-term factor persistence	0.9561	94.64***

V-Lab

Invesco DB Energy Fund MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco DB Energy Fund Analyses