DB Currency Valuation Excess Return (USD) EGARCH Volatility Analysis
Inactive
Last recorded values (Tuesday, March 31st, 2020):
1 Day
9.50%
1 Week
9.51%
1 Month
9.55%
Analysis last updated: Monday, March 1, 2021 at 07:48 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| -0.0088 | -9.87 | |
| 0.1313 | 29.75 | |
| 0.9905 | 1,533.26 | |
| 0.0067 | 2.14 |
Estimation Period:
Jan 3, 1990 to Mar 27, 2020
Jan 3, 1990 to Mar 27, 2020
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