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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0548	17.13***
α ARCH Response to squared shocks	0.0990	27.21***
β GARCH Volatility persistence	0.8928	260.81***

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Invesco DB Oil Fund GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco DB Oil Fund Analyses