V-Lab
Deutsche Bank FX Volatility Index AGARCH Volatility Analysis
Volatility prediction for Friday, September 25th, 2026
1 Day
36.12%
decreased by 3.91%
1 Week
37.58%
decreased by 2.45%
1 Month
41.20%
increased by 1.17%
Analysis last updated: Friday, September 25, 2026 at 08:58 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 29, 2001 to Sep 24, 2026Model Insight
The news-impact curve is shifted (γ = -0.52) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
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Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.5071 | 7.24*** |
| αARCH | 0.2203 | 7.47*** |
| βGARCH | 0.7142 | 26.42*** |
| γleverage | -0.5239 | -3.20*** |
0.934
Persistence10d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5071 | 7.24*** |
α ARCH Response to squared shocks | 0.2203 | 7.47*** |
β GARCH Volatility persistence | 0.7142 | 26.42*** |
γ leverage Additional response to negative shocks | -0.5239 | -3.20*** |
Persistence:
0.934
Half-life:
10 days
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