Deutsche Bank FX Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0070
β GARCH Volatility persistence	0.9918
γ leverage Additional response to negative shocks	0.0023
λ₁ tau intercept Baseline long-term coefficient	0.0332
λ₂ forecast adj. Forecast performance sensitivity	0.1489
λ₃ tau persistence Long-term factor persistence	0.0000

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Chinese Renminbi MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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