V-Lab: Deutsche Bank FX Volatility Index AGARCH Volatility Analysis

V-Lab

Deutsche Bank FX Volatility Index AGARCH Volatility Analysis

Volatility Prediction for Friday, June 24th, 2022:40.62% (-5.96%)

Analysis last updated: Sunday, June 26, 2022, 11:49 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.4958	26.43
$α$	0.2392	27.03
$β$	0.7018	92.96
$γ$	-0.5185	-12.10

Estimation Period:
Aug 29, 2001 to Jun 10, 2022

News Impact Curve

Volatility Forecasts

Other Deutsche Bank FX Volatility Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
Spline-GARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T
MF2-GARCH

We are currently experiencing issues updating our data. Unfortunately, we do not have an estimate as to when these issues will be resolved. We apologize for any inconvenience and are working as hard as we can to resolve these issues as soon as possible.