V-Lab
Deutsche Bank FX Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 4th, 2026
1 Day
67.39%
increased by 33.29%
1 Week
65.17%
increased by 31.07%
1 Month
58.86%
increased by 24.76%
Analysis last updated: Friday, September 4, 2026 at 11:27 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 29, 2001 to Aug 27, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 104% 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 104% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.5514 | 8.09*** |
| αARCH | 0.2979 | 5.55*** |
| βGARCH | 0.7128 | 27.27*** |
| γleverage | -0.1519 | -2.07** |
0.935
Persistence10d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5514 | 8.09*** |
α ARCH Response to squared shocks | 0.2979 | 5.55*** |
β GARCH Volatility persistence | 0.7128 | 27.27*** |
γ leverage Additional response to negative shocks | -0.1519 | -2.07** |
Persistence:
0.935
Half-life:
10 days
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