V-Lab
DB Currency Valuation Excess Return (USD) EGARCH Volatility Analysis
Volatility Prediction for Tuesday, March 31st, 2020:9.50% (-0.20%)
Analysis last updated: Monday, March 1, 2021 at 07:48 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| -0.0088 | -9.87 | |
| 0.1313 | 29.75 | |
| 0.9905 | 1533.26 | |
| 0.0067 | 2.14 |
Estimation Period:
Jan 3, 1990 to Mar 27, 2020
Jan 3, 1990 to Mar 27, 2020
News Impact Curve
Volatility Forecasts
Other DB Currency Valuation Excess Return (USD) Analyses