DB Currency momentum Excess Return (USD) GAS-GARCH Student T Volatility Analysis
Inactive
Last recorded values (Tuesday, March 31st, 2020):
1 Day
16.79%
1 Week
16.68%
1 Month
16.26%
Analysis last updated: Thursday, March 26, 2026 at 05:12 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.3464 | 7.44 | |
| 0.0620 | 36.99 | |
| 0.9905 | 816.55 | |
| 6.8053 | 6.97 |
Estimation Period:
Jan 3, 1990 to Mar 27, 2020
Jan 3, 1990 to Mar 27, 2020
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