Deutsche Bank FX Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.0009	2.25**
αARCH	0.0209	4.06***
βGARCH	0.9726	279.65***
γleverage	0.0060	0.52

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0009	2.25**
α ARCH Response to squared shocks	0.0209	4.06***
β GARCH Volatility persistence	0.9726	279.65***
γ leverage Additional response to negative shocks	0.0060	0.52

V-Lab

US Dollar to Swiss Franc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Swiss Franc Analyses