V-Lab
Deutsche Bank FX Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Thursday, May 1st, 2025:46.94% (-3.16%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.5517 | 31.38 | |
| 0.3085 | 21.70 | |
| 0.7108 | 104.74 | |
| -0.1631 | -8.49 |
Estimation Period:
Aug 29, 2001 to Apr 4, 2025
Aug 29, 2001 to Apr 4, 2025
News Impact Curve
Volatility Forecasts
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