Deutsche Bank FX Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
35.57%
increased by 3.56%
1 Week
37.04%
increased by 5.03%
1 Month
40.67%
increased by 8.66%
Analysis last updated: Friday, October 16, 2026 at 11:49 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 Oct 8, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 105% 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 105% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.5631 | 8.14*** |
| αARCH | 0.2998 | 5.57*** |
| βGARCH | 0.7102 | 27.05*** |
| γleverage | -0.1537 | -2.09** |
0.933
Persistence10d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5631 | 8.14*** |
α ARCH Response to squared shocks | 0.2998 | 5.57*** |
β GARCH Volatility persistence | 0.7102 | 27.05*** |
γ leverage Additional response to negative shocks | -0.1537 | -2.09** |
Persistence:
0.933
Half-life:
10 days
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