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

V-Lab

| |

V-Lab

Invesco DB Oil Fund Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 6th, 2024:35.10% (-1.80%)

Analysis last updated: Tuesday, November 5, 2024 at 11:00 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9847	6.03
$α$	0.0940	6.25
$β$	0.8896	54.23
$γ_{1}$	-0.0338	-1.36
$γ_{2}$	0.0819	2.00
$γ_{3}$	-0.1268	-3.28

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts