Deutsche Bank FX 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	12.98***
α ARCH Response to squared shocks	0.0365	19.35***
β GARCH Volatility persistence	0.9660	950.82***
γ leverage Additional response to negative shocks	-0.0132	-5.20***

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US Dollar to Canadian Dollar GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Canadian Dollar Analyses