V-Lab
DB Currency momentum Excess Return (USD) Spline-GARCH Volatility Analysis
Volatility Prediction for Tuesday, March 31st, 2020:17.31% (-0.69%)
Analysis last updated: Monday, March 30, 2020 at 06:31 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 1.1256 | 6.46 | |
| 0.0677 | 9.74 | |
| 0.9226 | 121.22 | |
| -0.0007 | -0.74 |
Estimation Period:
Jan 3, 1990 to Mar 27, 2020
Jan 3, 1990 to Mar 27, 2020
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