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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	0.9735	4.41***
α ARCH Response to squared shocks	0.0994	7.20***
β GARCH Volatility persistence	0.8929	66.61***

V-Lab

Invesco DB Oil Fund Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco DB Oil Fund Analyses