DB Currency momentum Excess Return (USD) AGARCH Volatility Analysis
Inactive
Last recorded values (Tuesday, March 31st, 2020):
1 Day
17.47%
1 Week
17.40%
1 Month
17.13%
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 | |
|---|---|---|
| 0.0009 | 4.83 | |
| 0.0580 | 40.11 | |
| 0.9361 | 627.00 | |
| -0.1531 | -16.30 |
Estimation Period:
Jan 3, 1990 to Mar 27, 2020
Jan 3, 1990 to Mar 27, 2020
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