Deutsche Bank USD Currency Harvest G10 EGARCH Volatility Analysis
Inactive
Last recorded values (Tuesday, March 31st, 2020):
1 Day
16.28%
1 Week
16.04%
1 Month
15.21%
Analysis last updated: Monday, March 1, 2021 at 07:00 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| -0.0146 | -10.78 | |
| 0.1550 | 32.48 | |
| 0.9844 | 1,049.49 | |
| -0.0552 | -12.46 |
Estimation Period:
Sep 19, 2000 to Mar 27, 2020
Sep 19, 2000 to Mar 27, 2020
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