Deutsche Bank Currency Returns Index EGARCH Volatility Analysis
Inactive
Last recorded values (Tuesday, March 31st, 2020):
1 Day
3.99%
1 Week
4.02%
1 Month
4.16%
Analysis last updated: Monday, March 1, 2021 at 06:51 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| -0.0192 | -12.33 | |
| 0.1799 | 49.75 | |
| 0.9899 | 1,703.74 | |
| 0.0146 | 4.43 |
Estimation Period:
Jan 3, 1990 to Mar 27, 2020
Jan 3, 1990 to Mar 27, 2020
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