DB Currency momentum Excess Return (USD) APARCH Volatility Analysis
Inactive
Last recorded values (Tuesday, March 31st, 2020):
1 Day
18.03%
1 Week
17.99%
1 Month
17.85%
Analysis last updated: Monday, March 30, 2020 at 06:30 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0025 | 13.20 | |
| 0.0647 | 34.76 | |
| 0.9352 | 586.68 | |
| -0.1884 | -14.04 | |
| 1.7631 | 31.20 |
Estimation Period:
Jan 3, 1990 to Mar 27, 2020
Jan 3, 1990 to Mar 27, 2020
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