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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0538	11.60***
α ARCH Response to squared shocks	0.1065	31.90***
β GARCH Volatility persistence	0.8778	284.26***
γ leverage Additional response to negative shocks	0.5482	14.51***

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Invesco DB Oil Fund AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco DB Oil Fund Analyses