Deutsche Bank FX Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 3-Month Volatility Index

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CBOE Skew Index

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
ωconst	1.3951	12.59***
αARCH	0.0403	8.38***
βGARCH	0.9472	157.27***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3951	12.59***
α ARCH Response to squared shocks	0.0403	8.38***
β GARCH Volatility persistence	0.9472	157.27***

V-Lab

US Dollar to Japanese Yen Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Japanese Yen Analyses