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
ωlong-run	0.6846	2.99***
αscore	0.0576	33.80***
βpersistence	0.9984	1,894.46***
νDF	2.0145	8,464.08***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	0.6846	2.99***
α score Weight on the scaled score	0.0576	33.80***
β persistence Volatility persistence	0.9984	1,894.46***
ν DF Student-t tail thickness	2.0145	8,464.08***

V-Lab

US Dollar to Chinese Renminbi GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Chinese Renminbi Analyses