V-Lab
DB Currency momentum Excess Return (USD) GJR-GARCH Volatility Analysis
Volatility Prediction for Tuesday, March 31st, 2020:18.19% (-0.60%)
Analysis last updated: Monday, March 1, 2021 at 08:56 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0021 | 14.07 | |
| 0.0822 | 22.30 | |
| 0.9345 | 599.84 | |
| -0.0412 | -8.58 |
Estimation Period:
Jan 3, 1990 to Mar 27, 2020
Jan 3, 1990 to Mar 27, 2020
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