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

V-Lab

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

Volatility Prediction for Thursday, May 1st, 2025:40.81% (-2.78%)

Analysis last updated: Friday, May 2, 2025 at 11:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6785	7.68
$α$	0.2117	6.90
$β$	0.6523	17.81
$γ_{1}$	-0.0078	-0.13
$γ_{2}$	0.1191	1.40
$γ_{3}$	-0.2466	-4.18
$γ_{4}$	0.2397	3.35
$γ_{5}$	-0.2174	-2.36
$γ_{6}$	0.1905	2.14
$γ_{7}$	-0.1219	-1.87
$γ_{8}$	0.0635	1.51

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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