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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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1310	4.53***
β GARCH Volatility persistence	0.7775	23.91***
γ leverage Additional response to negative shocks	-0.0451	-1.49
λ₁ tau intercept Baseline long-term coefficient	0.0205	1.24
λ₂ forecast adj. Forecast performance sensitivity	0.6993	2.66***
λ₃ tau persistence Long-term factor persistence	0.1117	0.30

V-Lab

Philippine Peso MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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