Deutsche Bank USD Currency Harvest G10 GJR-GARCH Volatility Analysis
Inactive
Last recorded values (Tuesday, March 31st, 2020):
1 Day
16.69%
1 Week
16.58%
1 Month
16.13%
Analysis last updated: Monday, March 1, 2021 at 05:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0035 | 13.93 | |
| 0.0446 | 12.54 | |
| 0.9167 | 395.28 | |
| 0.0570 | 8.48 |
Estimation Period:
Sep 19, 2000 to Mar 27, 2020
Sep 19, 2000 to Mar 27, 2020
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