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	0.0064	1.27
αARCH	0.1004	6.63***
βGARCH	0.9184	130.44***
γleverage	-0.0541	-2.14**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0064	1.27
α ARCH Response to squared shocks	0.1004	6.63***
β GARCH Volatility persistence	0.9184	130.44***
γ leverage Additional response to negative shocks	-0.0541	-2.14**

V-Lab

US Dollar to Brazilian Real GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Brazilian Real Analyses