Deutsche Bank FX Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

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	25.9838	0.76
αARCH	0.0573	6.89***
βGARCH	0.9855	50.78***
νDF	3.0105	4.04***

Parameter	Value	t-statistic
ω const Unconditional variance weight	25.9838	0.76
α ARCH Response to squared shocks	0.0573	6.89***
β GARCH Volatility persistence	0.9855	50.78***
ν DF Student-t tail thickness	3.0105	4.04***

V-Lab

Ethereum to US Dollar GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ethereum to US Dollar Analyses