V-Lab: Deutsche Bank FX Volatility Index MF2-GARCH Volatility Analysis

V-Lab

Deutsche Bank FX Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, April 11th, 2025:117.92% (-8.51%)

Analysis last updated: Saturday, April 12, 2025 at 02:21 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.3121	34.91
$β$	0.6304	67.10
$γ$	-0.2030	-16.28
$λ_{1}$	0.0318	3.26
$λ_{2}$	0.0536	6.34
$λ_{3}$	0.9435	99.10

Estimation Period:
Aug 29, 2001 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Deutsche Bank FX Volatility Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T