V-Lab
Deutsche Bank FX Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, September 25th, 2026
1 Day
34.70%
decreased by 2.59%
1 Week
35.11%
decreased by 2.18%
1 Month
36.46%
decreased by 0.83%
Analysis last updated: Friday, September 25, 2026 at 08:59 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
Volatility shocks decay with a half-life of 27 trading days, meaning a shock loses half its impact after approximately 27 days. Returns follow a Student-t distribution with v = 4.43 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 27-day half-lifev = 4.43 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 7.0906 | 1.64 |
| αARCH | 0.0987 | 8.20*** |
| βGARCH | 0.9750 | 65.79*** |
| νDF | 4.4303 | 2.86*** |
0.975
Persistence27d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 7.0906 | 1.64 |
α ARCH Response to squared shocks | 0.0987 | 8.20*** |
β GARCH Volatility persistence | 0.9750 | 65.79*** |
ν DF Student-t tail thickness | 4.4303 | 2.86*** |
Persistence:
0.975
Half-life:
27 days
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