Deutsche Bank FX Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, November 6th, 2026
1 Day
27.17%
decreased by 1.77%
1 Week
30.17%
increased by 1.23%
1 Month
36.91%
increased by 7.97%
Analysis last updated: Friday, November 6, 2026 at 07:28 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
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 106% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
GJR-GARCH Model
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Inverse leverage: Positive returns increase volatility 106% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.5648 | 8.15*** |
| αARCH | 0.2992 | 5.56*** |
| βGARCH | 0.7099 | 26.99*** |
| γleverage | -0.1538 | -2.10** |
0.932
Persistence10d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5648 | 8.15*** |
α ARCH Response to squared shocks | 0.2992 | 5.56*** |
β GARCH Volatility persistence | 0.7099 | 26.99*** |
γ leverage Additional response to negative shocks | -0.1538 | -2.10** |
Persistence:
0.932
Half-life:
10 days
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