Deutsche Bank USD Currency Harvest Balanced Zero Slope Spline-GARCH Volatility Analysis
Inactive
Last recorded values (Tuesday, March 31st, 2020):
1 Day
19.33%
1 Week
18.39%
1 Month
15.54%
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 | |
|---|---|---|
| 0.9226 | 4.47 | |
| 0.1290 | 7.22 | |
| 0.8114 | 36.76 | |
| 0.1299 | 1.73 | |
| -0.2820 | -2.96 | |
| 0.3210 | 4.95 | |
| -0.3353 | -5.37 | |
| 0.2882 | 4.60 | |
| -0.1970 | -3.11 | |
| 0.1060 | 2.35 |
Estimation Period:
Oct 16, 1997 to Mar 27, 2020
Oct 16, 1997 to Mar 27, 2020
Other Deutsche Bank USD Currency Harvest Balanced Analyses
Other Zero Slope Spline-GARCH Analyses on Currencies