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
α ARCH Response to squared shocks	0.0603	12.69***
β GARCH Volatility persistence	0.8965	273.23***
γ leverage Additional response to negative shocks	0.0646	10.76***
λ₁ tau intercept Baseline long-term coefficient	5.2794	110.12***

V-Lab

Invesco DB Oil Fund MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco DB Oil Fund Analyses