Deutsche Bank FX Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
mwindow	31
αARCH	0.2485	2.77***
βGARCH	0.5305	4.12***
γleverage	-0.0921	-0.81
λ₁tau intercept	0.5291	1.09
λ₂forecast adj.	0.2007	1.31
λ₃tau persistence	0.7936	5.61***

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.2485	2.77***
β GARCH Volatility persistence	0.5305	4.12***
γ leverage Additional response to negative shocks	-0.0921	-0.81
λ₁ tau intercept Baseline long-term coefficient	0.5291	1.09
λ₂ forecast adj. Forecast performance sensitivity	0.2007	1.31
λ₃ tau persistence Long-term factor persistence	0.7936	5.61***

V-Lab

Cardano to US Dollar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Cardano to US Dollar Analyses