Deutsche Bank USD Currency Harvest G10 Spline-GARCH Volatility Analysis
Inactive
Last recorded values (Tuesday, March 31st, 2020):
1 Day
15.90%
1 Week
15.75%
1 Month
15.17%
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 | |
|---|---|---|
| 0.9341 | 5.64 | |
| 0.0837 | 7.38 | |
| 0.9043 | 79.52 | |
| -0.0044 | -1.20 |
Estimation Period:
Sep 19, 2000 to Mar 27, 2020
Sep 19, 2000 to Mar 27, 2020
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