V-Lab
Invesco DB Oil Fund GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
51.09%
decreased by 1.31%
1 Week
50.96%
decreased by 1.44%
1 Month
50.50%
decreased by 1.90%
Analysis last updated: Friday, July 24, 2026 at 10:18 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 5, 2007 to Jul 24, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 118 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.32 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.1661 | 4.74*** |
α ARCH Response to squared shocks | 0.0760 | 43.93*** |
β GARCH Volatility persistence | 0.9942 | 789.64*** |
ν DF Student-t tail thickness | 7.3227 | 6.94*** |
Persistence:
0.994
Half-life:
118 days
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