Deutsche Bank FX Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.1438	14.29***
β GARCH Volatility persistence	0.6093	41.83***
γ leverage Additional response to negative shocks	0.0113	0.86
λ₁ tau intercept Baseline long-term coefficient	0.0036	0.69
λ₂ forecast adj. Forecast performance sensitivity	0.9084	0.68
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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US Dollar to Kuwaiti Dinar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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