V-Lab: Invesco DB Energy Fund Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Invesco DB Energy Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:16.31% (-0.24%)

Analysis last updated: Monday, April 29, 2024 at 09:58 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9732	4.55
$α$	0.0776	6.49
$β$	0.9162	77.67
$γ_{1}$	-0.0017	-0.99

Estimation Period:
Jan 5, 2007 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts