V-Lab: Invesco DB Oil Fund Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Invesco DB Oil Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 6th, 2024:37.77% (-1.80%)

Analysis last updated: Tuesday, November 5, 2024 at 11:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0240	4.48
$α$	0.0988	6.66
$β$	0.8938	62.94
$γ_{1}$	-0.0018	-1.32

Estimation Period:
Jan 5, 2007 to Nov 1, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts