Deutsche Bank FX Volatility Index

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How volatility evolves over time

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{name} Model Equation

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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
ωlong-run	0.0939	1.03
αscore	0.0469	12.72***
βpersistence	0.9936	161.48***
νDF	3.9495	3.74***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	0.0939	1.03
α score Weight on the scaled score	0.0469	12.72***
β persistence Volatility persistence	0.9936	161.48***
ν DF Student-t tail thickness	3.9495	3.74***

V-Lab

Singapore Dollar GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Singapore Dollar Analyses