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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6649	7.53***
α ARCH Response to squared shocks	0.2119	6.92***
β GARCH Volatility persistence	0.6529	17.93***

γ₁	-0.0214	-0.36
γ₂	0.1409	1.65*
γ₃	-0.2615	-4.44***
γ₄	0.2528	3.53***
γ₅	-0.2310	-2.51**
γ₆	0.2094	2.35**
γ₇	-0.1578	-2.14**
γ₈	0.1509	1.04

V-Lab

Deutsche Bank FX Volatility Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Bank FX Volatility Index Analyses