Deutsche Bank Currency Returns Index Zero Slope Spline-GARCH Volatility Analysis
Inactive
Last recorded values (Tuesday, March 31st, 2020):
1 Day
4.37%
1 Week
4.37%
1 Month
4.37%
Analysis last updated: Monday, March 30, 2020 at 06:31 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 1.0658 | 3.96 | |
| 0.0858 | 11.36 | |
| 0.9095 | 120.89 | |
| -0.0104 | -3.60 | |
| 0.0142 | 3.98 |
Estimation Period:
Jan 3, 1990 to Mar 27, 2020
Jan 3, 1990 to Mar 27, 2020
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