CBOE Energy ETF Volatility Index

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CBOE Skew Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.0406	12.54***
β GARCH Volatility persistence	0.8750	209.37***
γ leverage Additional response to negative shocks	0.0853	16.55***
λ₁ tau intercept Baseline long-term coefficient	0.3659	0.96
λ₂ forecast adj. Forecast performance sensitivity	0.6396	1.02
λ₃ tau persistence Long-term factor persistence	0.2801	0.39

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