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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.3121	34.91***
β GARCH Volatility persistence	0.6304	67.10***
γ leverage Additional response to negative shocks	-0.2030	-16.28***
λ₁ tau intercept Baseline long-term coefficient	0.0318	3.26***
λ₂ forecast adj. Forecast performance sensitivity	0.0536	6.34***
λ₃ tau persistence Long-term factor persistence	0.9435	99.10***

V-Lab

Deutsche Bank FX Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Bank FX Volatility Index Analyses