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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	6.1372	4.74***
α ARCH Response to squared shocks	0.0776	43.42***
β GARCH Volatility persistence	0.9939	755.25***
ν DF Student-t tail thickness	7.3531	6.87***

V-Lab

Invesco DB Oil Fund GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco DB Oil Fund Analyses