Deutsche Bank FX Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.1192	12.73***
β GARCH Volatility persistence	0.8257	91.41***
γ leverage Additional response to negative shocks	0.1102	3.14***
λ₁ tau intercept Baseline long-term coefficient	0.0420	0.93
λ₂ forecast adj. Forecast performance sensitivity	0.0052	2.97***
λ₃ tau persistence Long-term factor persistence	0.9944	277.76***

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Kuwaiti Dinar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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