V-Lab: Deutsche Bank FX Volatility Index Spline-GARCH Volatility Analysis

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V-Lab

Deutsche Bank FX Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:59.59% (+5.66%)

Analysis last updated: Saturday, April 20, 2024 at 03:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5842	6.73
$α$	0.2190	6.29
$β$	0.6272	14.80
$γ_{1}$	-0.2281	-1.71
$γ_{2}$	0.4487	2.09
$γ_{3}$	-0.2607	-1.56
$γ_{4}$	-0.0327	-0.23
$γ_{5}$	0.0399	0.30
$γ_{6}$	0.2124	1.51
$γ_{7}$	-0.4958	-2.73
$γ_{8}$	0.6255	3.01
$γ_{9}$	-0.5914	-3.08
$γ_{10}$	0.7561	3.15

Estimation Period:
Aug 29, 2001 to Aug 19, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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