Deutsche Bank Currency Returns Index AGARCH Volatility Analysis
Inactive
Last recorded values (Tuesday, March 31st, 2020):
1 Day
4.47%
1 Week
4.49%
1 Month
4.57%
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 | |
|---|---|---|
| 0.0002 | 5.45 | |
| 0.0802 | 48.12 | |
| 0.9204 | 631.26 | |
| -0.0440 | -9.93 |
Estimation Period:
Jan 3, 1990 to Mar 27, 2020
Jan 3, 1990 to Mar 27, 2020
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