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

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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
mwindow	21
αARCH	0.0185	1.97**
βGARCH	0.7999	24.02***
γleverage	0.0722	4.41***
λ₁tau intercept	0.0013	3.14***
λ₂forecast adj.	0.0272	4.74***
λ₃tau persistence	0.9680	146.49***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0185	1.97**
β GARCH Volatility persistence	0.7999	24.02***
γ leverage Additional response to negative shocks	0.0722	4.41***
λ₁ tau intercept Baseline long-term coefficient	0.0013	3.14***
λ₂ forecast adj. Forecast performance sensitivity	0.0272	4.74***
λ₃ tau persistence Long-term factor persistence	0.9680	146.49***

V-Lab

US Dollar to Japanese Yen MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Japanese Yen Analyses