Deutsche Bank FX Volatility Index

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{name} Model Equation

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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
ωconst	-0.0051	-2.15**
αARCH	0.0815	6.62***
βGARCH	0.9895	403.70***
γleverage	-0.0233	-2.69***

Parameter	Value	t-statistic
ω const Unconditional variance weight	-0.0051	-2.15**
α ARCH Response to squared shocks	0.0815	6.62***
β GARCH Volatility persistence	0.9895	403.70***
γ leverage Additional response to negative shocks	-0.0233	-2.69***

V-Lab

Australian Dollar EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Australian Dollar Analyses