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 Wednesday, November 27th, 2024:35.81% (-4.29%)

Analysis last updated: Thursday, November 28, 2024 at 12:36 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6604	7.47
$α$	0.2187	6.91
$β$	0.6434	17.31
$γ_{1}$	-0.0348	-0.56
$γ_{2}$	0.1702	1.90
$γ_{3}$	-0.2897	-4.45
$γ_{4}$	0.2702	3.33
$γ_{5}$	-0.2338	-2.37
$γ_{6}$	0.1956	2.23
$γ_{7}$	-0.1262	-2.00
$γ_{8}$	0.0718	1.60

Estimation Period:
Aug 29, 2001 to Aug 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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