V-Lab
Deutsche Bank Currency Returns Index GJR-GARCH Volatility Analysis
Volatility Prediction for Tuesday, March 31st, 2020:4.47% (-0.18%)
Analysis last updated: Monday, March 1, 2021 at 07:45 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0004 | 16.13 | |
| 0.0964 | 25.23 | |
| 0.9192 | 594.55 | |
| -0.0312 | -6.36 |
Estimation Period:
Jan 3, 1990 to Mar 27, 2020
Jan 3, 1990 to Mar 27, 2020
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