DB Currency momentum Excess Return (USD) EGARCH Volatility Analysis
Inactive
Last recorded values (Tuesday, March 31st, 2020):
1 Day
17.14%
1 Week
17.02%
1 Month
16.57%
Analysis last updated: Monday, March 1, 2021 at 07:18 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| -0.0059 | -6.82 | |
| 0.1426 | 42.48 | |
| 0.9912 | 1,578.32 | |
| 0.0365 | 11.14 |
Estimation Period:
Jan 3, 1990 to Mar 27, 2020
Jan 3, 1990 to Mar 27, 2020
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