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

V-Lab

Deutsche Bank FX Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, September 12th, 2025:32.65% (-1.07%)

Analysis last updated: Friday, September 12, 2025 at 11:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6649	7.53
$α$	0.2119	6.92
$β$	0.6529	17.93
$γ_{1}$	-0.0214	-0.36
$γ_{2}$	0.1409	1.65
$γ_{3}$	-0.2615	-4.44
$γ_{4}$	0.2528	3.53
$γ_{5}$	-0.2310	-2.51
$γ_{6}$	0.2094	2.35
$γ_{7}$	-0.1578	-2.14
$γ_{8}$	0.1509	1.04

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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