V-Lab
Deutsche Bank FX Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, December 20th, 2024:33.11% (+2.14%)
Analysis last updated: Friday, December 20, 2024 at 09:20 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.5473 | 31.12 | |
| 0.3136 | 21.72 | |
| 0.7072 | 102.75 | |
| -0.1619 | -8.25 |
Estimation Period:
Aug 29, 2001 to Aug 30, 2024
Aug 29, 2001 to Aug 30, 2024
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