Deutsche Bank FX Volatility Index

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{name} Model Equation

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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	0.0029	2.80***
αARCH	0.0582	4.62***
βGARCH	0.9412	129.41***
γleverage	-0.0142	-0.64

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0029	2.80***
α ARCH Response to squared shocks	0.0582	4.62***
β GARCH Volatility persistence	0.9412	129.41***
γ leverage Additional response to negative shocks	-0.0142	-0.64

V-Lab

US Dollar to Chilean Peso GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Chilean Peso Analyses