Deutsche Bank FX Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, November 6th, 2026
1 Day
29.47%
decreased by 2.42%
1 Week
30.16%
decreased by 1.73%
1 Month
32.42%
increased by 0.53%
Analysis last updated: Friday, November 6, 2026 at 07:29 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 29, 2001 to Nov 5, 2026Model Insight
Volatility shocks decay with a half-life of 31 trading days, meaning a shock loses half its impact after approximately 31 days. Returns follow a Student-t distribution with v = 4.63 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 31-day half-lifev = 4.63 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 7.3216 | 1.63 |
| αscore | 0.1002 | 8.63*** |
| βpersistence | 0.9776 | 73.45*** |
| νDF | 4.6282 | 2.83*** |
0.978
Persistence31d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 7.3216 | 1.63 |
α score Weight on the scaled score | 0.1002 | 8.63*** |
β persistence Volatility persistence | 0.9776 | 73.45*** |
ν DF Student-t tail thickness | 4.6282 | 2.83*** |
Persistence:
0.978
Half-life:
31 days
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