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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0180	20.64***
α ARCH Response to squared shocks	0.1502	38.61***
β GARCH Volatility persistence	0.8474	185.43***
γ leverage Additional response to negative shocks	0.0884	9.02***
δ power Transformation power	0.5024	7.28***

V-Lab

Invesco DB Oil Fund Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco DB Oil Fund Analyses