Deutsche Bank FX Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0013	0.44
α ARCH Response to squared shocks	0.2460	46.83***
β GARCH Volatility persistence	0.9859	654.23***
γ leverage Additional response to negative shocks	0.0420	9.91***

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US Dollar to Indian Rupee EGARCH Volatility Analysis

Date Range:

News Impact Curve

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