Invesco DB Precious Metals Fund GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
24.78%
1 Week
24.74%
1 Month
24.59%
Analysis last updated: Friday, October 23, 2026 at 10:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 5, 2007 to Oct 23, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 122 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 = 5.93 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 1.7644 | 1.08 |
| αscore | 0.0432 | 9.34*** |
| βpersistence | 0.9943 | 183.69*** |
| νDF | 5.9251 | 1.50 |
0.994
Persistence122d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 1.7644 | 1.08 |
α score Weight on the scaled score | 0.0432 | 9.34*** |
β persistence Volatility persistence | 0.9943 | 183.69*** |
ν DF Student-t tail thickness | 5.9251 | 1.50 |
Persistence:
0.994
Half-life:
122 days
Other Invesco DB Precious Metals Fund Analyses
Other GAS-GARCH Student T Analyses on ETFs