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
mwindow	21
αARCH	0.1439	8.30***
βGARCH	0.7559	24.56***
γleverage	-0.1171	-6.30***
λ₁tau intercept	0.0080	1.01
λ₂forecast adj.	0.0631	4.87***
λ₃tau persistence	0.9234	41.89***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1439	8.30***
β GARCH Volatility persistence	0.7559	24.56***
γ leverage Additional response to negative shocks	-0.1171	-6.30***
λ₁ tau intercept Baseline long-term coefficient	0.0080	1.01
λ₂ forecast adj. Forecast performance sensitivity	0.0631	4.87***
λ₃ tau persistence Long-term factor persistence	0.9234	41.89***

V-Lab

US Dollar to Brazilian Real MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Brazilian Real Analyses