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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	111
α ARCH Response to squared shocks	0.0783	19.59***
β GARCH Volatility persistence	0.9133	177.80***
γ leverage Additional response to negative shocks	-0.0233	-5.34***
λ₁ tau intercept Baseline long-term coefficient	0.0065	6.80***
λ₂ forecast adj. Forecast performance sensitivity	0.0193	7.32***
λ₃ tau persistence Long-term factor persistence	0.9770	304.64***

V-Lab

Invesco DB Precious Metals Fund MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco DB Precious Metals Fund Analyses