CBOE Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
mwindow	76
αARCH	0.3071	7.66***
βGARCH	0.6275	17.78***
γleverage	-0.1931	-4.04***
λ₁tau intercept	0.0437	2.03**
λ₂forecast adj.	0.0658	2.85***
λ₃tau persistence	0.9295	38.94***

Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.3071	7.66***
β GARCH Volatility persistence	0.6275	17.78***
γ leverage Additional response to negative shocks	-0.1931	-4.04***
λ₁ tau intercept Baseline long-term coefficient	0.0437	2.03**
λ₂ forecast adj. Forecast performance sensitivity	0.0658	2.85***
λ₃ tau persistence Long-term factor persistence	0.9295	38.94***

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