Deutsche Bank FX Volatility Index

CBOE Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.1479	11.36***
β GARCH Volatility persistence	0.5240	13.44***
γ leverage Additional response to negative shocks	-0.0761	-5.58***
λ₁ tau intercept Baseline long-term coefficient	2.8976	1.09
λ₂ forecast adj. Forecast performance sensitivity	0.8827	3.13***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Dogecoin to US Dollar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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