V-Lab
Deutsche Bank FX Volatility Index APARCH Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
49.20%
1 Week
48.87%
1 Month
48.00%
Analysis last updated: Friday, October 2, 2026 at 09:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 29, 2001 to Sep 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 86% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets. The volatility power δ = 1.30 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.2747 | 4.46*** |
| αARCH | 0.2118 | 7.34*** |
| βGARCH | 0.7552 | 26.26*** |
| γleverage | -0.2345 | -3.20*** |
| δpower | 1.2965 | 6.55*** |
0.932
Persistence10d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2747 | 4.46*** |
α ARCH Response to squared shocks | 0.2118 | 7.34*** |
β GARCH Volatility persistence | 0.7552 | 26.26*** |
γ leverage Additional response to negative shocks | -0.2345 | -3.20*** |
δ power Transformation power | 1.2965 | 6.55*** |
Persistence:
0.932
Half-life:
10 days
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