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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5517	31.38***
α ARCH Response to squared shocks	0.3085	21.70***
β GARCH Volatility persistence	0.7108	104.74***
γ leverage Additional response to negative shocks	-0.1631	-8.49***

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Deutsche Bank FX Volatility Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Bank FX Volatility Index Analyses