Invesco DB Oil Fund Asy. MEM Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Tuesday, July 21st, 2026
1 Day
42.20%
1 Week
42.24%
1 Month
42.40%
Analysis last updated: Monday, July 20, 2026 at 09:37 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 5, 2007 to Jul 17, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 18% more than positive returns
AMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0065 | 14.50*** |
α ARCH Response to squared shocks | 0.1180 | 25.27*** |
β GARCH Volatility persistence | 0.8715 | 328.13*** |
γ leverage Additional response to negative shocks | 0.0209 | 3.39*** |
Persistence:
1.000
Half-life:
1386294 days
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