CBOE Energy ETF Volatility Index

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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	0.0466	18.09***
α ARCH Response to squared shocks	0.0993	23.26***
β GARCH Volatility persistence	0.9007	240.57***
γ leverage Additional response to negative shocks	0.2503	8.49***
δ power Transformation power	1.3465	26.72***

V-Lab

Invesco DB Oil Fund APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco DB Oil Fund Analyses