Deutsche Bank FX Volatility Index

CBOE Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0005	11.76***
α ARCH Response to squared shocks	0.0295	26.46***
β GARCH Volatility persistence	0.9660	956.47***
γ leverage Additional response to negative shocks	-0.1111	-9.12***
δ power Transformation power	2.0055	41.57***

V-Lab

US Dollar to Canadian Dollar APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Canadian Dollar Analyses