Deutsche Bank FX Volatility Index

CBOE Volatility Index

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CBOE DJIA 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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0011	2.93***
α ARCH Response to squared shocks	0.0305	6.35***
β GARCH Volatility persistence	0.9638	190.21***
γ leverage Additional response to negative shocks	0.0744	1.54

V-Lab

British Pound AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other British Pound Analyses