V-Lab: Deutsche Bank FX Volatility Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Deutsche Bank FX Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 11th, 2024:35.52% (-2.69%)

Analysis last updated: Friday, April 12, 2024 at 11:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7455	9.47
$α$	0.2239	6.64
$β$	0.6485	16.73
$γ_{1}$	0.0581	3.98
$γ_{2}$	-0.0834	-3.44
$γ_{3}$	0.0183	0.84
$γ_{4}$	0.0116	0.71

Estimation Period:
Aug 29, 2001 to Aug 19, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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