V-Lab
DB Currency momentum Excess Return (USD) APARCH Volatility Analysis
Volatility Prediction for Tuesday, March 31st, 2020:18.03% (-0.67%)
Analysis last updated: Monday, March 30, 2020 at 06:30 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0025 | 13.20 | |
| 0.0647 | 34.76 | |
| 0.9352 | 586.68 | |
| -0.1884 | -14.04 | |
| 1.7631 | 31.20 |
Estimation Period:
Jan 3, 1990 to Mar 27, 2020
Jan 3, 1990 to Mar 27, 2020
News Impact Curve
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