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

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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	-0.0010	-0.61
αARCH	0.0667	8.85***
βGARCH	0.9951	926.51***
γleverage	-0.0061	-0.89

Parameter	Value	t-statistic
ω const Unconditional variance weight	-0.0010	-0.61
α ARCH Response to squared shocks	0.0667	8.85***
β GARCH Volatility persistence	0.9951	926.51***
γ leverage Additional response to negative shocks	-0.0061	-0.89

V-Lab

Euro EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Euro Analyses