Deutsche Bank FX Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.0015	4.59***
αARCH	0.0408	5.84***
βGARCH	0.9536	255.26***
γleverage	-0.0006	-0.04

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0015	4.59***
α ARCH Response to squared shocks	0.0408	5.84***
β GARCH Volatility persistence	0.9536	255.26***
γ leverage Additional response to negative shocks	-0.0006	-0.04

V-Lab

United States Dollar Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other United States Dollar Index Analyses