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	0.0594	18.16***
α ARCH Response to squared shocks	0.0639	11.70***
β GARCH Volatility persistence	0.8937	263.48***
γ leverage Additional response to negative shocks	0.0618	7.17***

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Invesco DB Oil Fund GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco DB Oil Fund Analyses