DB Currency Valuation Excess Return (USD) Zero Slope Spline-GARCH Volatility Analysis
Inactive
Last recorded values (Tuesday, March 31st, 2020):
1 Day
10.26%
1 Week
10.11%
1 Month
9.58%
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 | |
|---|---|---|
| 1.0403 | 8.90 | |
| 0.0600 | 6.68 | |
| 0.9201 | 81.35 | |
| -0.0065 | -4.46 | |
| 0.0098 | 5.27 |
Estimation Period:
Jan 3, 1990 to Mar 27, 2020
Jan 3, 1990 to Mar 27, 2020
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