DB Currency momentum Excess Return (USD) GARCH Volatility Analysis
Inactive
Last recorded values (Tuesday, March 31st, 2020):
1 Day
17.55%
1 Week
17.46%
1 Month
17.11%
Analysis last updated: Monday, March 1, 2021 at 07:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0031 | 19.24 | |
| 0.0676 | 39.81 | |
| 0.9246 | 520.93 |
Estimation Period:
Jan 3, 1990 to Mar 27, 2020
Jan 3, 1990 to Mar 27, 2020
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