DB Currency Valuation Excess Return (USD) AGARCH Volatility Analysis
Inactive
Last recorded values (Tuesday, March 31st, 2020):
1 Day
10.48%
1 Week
10.48%
1 Month
10.48%
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 | |
|---|---|---|
| 0.0010 | 11.86 | |
| 0.0517 | 30.33 | |
| 0.9455 | 560.15 | |
| -0.0585 | -5.24 |
Estimation Period:
Jan 3, 1990 to Mar 27, 2020
Jan 3, 1990 to Mar 27, 2020
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