Deutsche Bank FX Volatility Index

CBOE Volatility Index

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CBOE Skew Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1822	29.08***
β GARCH Volatility persistence	0.7674	84.87***
γ leverage Additional response to negative shocks	-0.0565	-7.07***
λ₁ tau intercept Baseline long-term coefficient	0.0002	6.20***
λ₂ forecast adj. Forecast performance sensitivity	0.0334	7.02***
λ₃ tau persistence Long-term factor persistence	0.9666	191.93***

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US Dollar to Indonesian Rupiah MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Indonesian Rupiah Analyses