Euro dollar exchange rate

  • Red band: Prediction of exchange rate from today up to 3 months into the future.
  • Green band: Prediction of the exchange rate based on the data 3 months in the past (backtest of red band).
  • Model: Geometric Brownian motion. Volatility estimated using the GARCH(1,1) model on the daily change in exchange rate. Parameters of GARCH(1,1) model calibrated using maximum likelyhood estimation.
USD/EUR exchange rate with log normal prediction

Histogram of the exchange rate

  • Data: Daily change in EUR/USD exchange rate since June 2008.
  • Model: Normal distribution with same mean and variance as histogram. Check for fat tails.
Histogram of the daily change of the USD/EUR

Various GARCH(1,1) Correlations

  • Model: Correlation coefficients computed using the GARCH(1,1) model on the daily change of the data.
Various stock market correlations

Historic stock market index data from around the world

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Historic Commodity Prices (gold, oil)

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Historic Interest Rates

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Belfius historic interest rates on CDs

Belfius CD interest rates