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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Param	Value	t-stat
ωconst	0.7093	2.63***
αARCH	0.0452	33.74***
βGARCH	0.9990	2,574.74***
νDF	2.2958	458.43***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7093	2.63***
α ARCH Response to squared shocks	0.0452	33.74***
β GARCH Volatility persistence	0.9990	2,574.74***
ν DF Student-t tail thickness	2.2958	458.43***

V-Lab

US Dollar to Brazilian Real GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Brazilian Real Analyses