Deutsche Bank Currency Returns Index Spline-GARCH Volatility Analysis
Inactive
Last recorded values (Tuesday, March 31st, 2020):
1 Day
4.39%
1 Week
4.40%
1 Month
4.41%
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 | |
|---|---|---|
| 1.0645 | 3.87 | |
| 0.0860 | 11.48 | |
| 0.9096 | 121.83 | |
| -0.0114 | -3.08 | |
| 0.0168 | 2.40 |
Estimation Period:
Jan 3, 1990 to Mar 27, 2020
Jan 3, 1990 to Mar 27, 2020
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