V-Lab
Invesco DB Precious Metals Fund GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
28.28%
decreased by 0.65%
1 Week
28.21%
decreased by 0.72%
1 Month
27.94%
decreased by 0.99%
Analysis last updated: Saturday, September 19, 2026 at 02:24 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 5, 2007 to Sep 18, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 123 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.82 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
High persistence: persistence 0.994, shock half-life ~123 daysv = 5.82 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.7831 | 1.08 |
| αARCH | 0.0436 | 9.39*** |
| βGARCH | 0.9944 | 187.65*** |
| νDF | 5.8167 | 1.59 |
0.994
Persistence123d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7831 | 1.08 |
α ARCH Response to squared shocks | 0.0436 | 9.39*** |
β GARCH Volatility persistence | 0.9944 | 187.65*** |
ν DF Student-t tail thickness | 5.8167 | 1.59 |
Persistence:
0.994
Half-life:
123 days
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