Deutsche Bank FX Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
37.67%
increased by 1.97%
1 Week
37.91%
increased by 2.21%
1 Month
38.73%
increased by 3.03%
Analysis last updated: Friday, October 16, 2026 at 11:49 PM UTC
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How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 29, 2001 to Oct 8, 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 = 4.42 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 = 4.42 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 7.1268 | 1.63 |
| αARCH | 0.0988 | 8.19*** |
| βGARCH | 0.9750 | 65.60*** |
| νDF | 4.4249 | 2.86*** |
0.975
Persistence27d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 7.1268 | 1.63 |
α ARCH Response to squared shocks | 0.0988 | 8.19*** |
β GARCH Volatility persistence | 0.9750 | 65.60*** |
ν DF Student-t tail thickness | 4.4249 | 2.86*** |
Persistence:
0.975
Half-life:
27 days
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