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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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0092	0.71
β GARCH Volatility persistence	0.1133	1.00
γ leverage Additional response to negative shocks	0.1116	4.55***
λ₁ tau intercept Baseline long-term coefficient	0.0604	4.07***
λ₂ forecast adj. Forecast performance sensitivity	0.8191	5.59***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Australian Dollar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Australian Dollar Analyses