DB Currency Valuation Excess Return (USD) APARCH Volatility Analysis
Inactive
Last recorded values (Tuesday, March 31st, 2020):
1 Day
9.85%
1 Week
9.84%
1 Month
9.80%
Analysis last updated: Monday, March 30, 2020 at 06:30 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0025 | 12.80 | |
| 0.0587 | 27.88 | |
| 0.9413 | 475.89 | |
| -0.0541 | -3.42 | |
| 1.6387 | 29.09 |
Estimation Period:
Jan 3, 1990 to Mar 27, 2020
Jan 3, 1990 to Mar 27, 2020
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