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	0.0004	1.78*
αARCH	0.0457	3.79***
βGARCH	0.9510	166.70***
γleverage	0.0064	0.27

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0004	1.78*
α ARCH Response to squared shocks	0.0457	3.79***
β GARCH Volatility persistence	0.9510	166.70***
γ leverage Additional response to negative shocks	0.0064	0.27

V-Lab

US Dollar to Costa Rican Colon GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Costa Rican Colon Analyses