Deutsche Bank FX Volatility Index

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{name} Model Equation

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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	0.0028	5.21***
αARCH	0.1374	8.16***
βGARCH	0.8343	46.01***
γleverage	0.0227	0.87

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0028	5.21***
α ARCH Response to squared shocks	0.1374	8.16***
β GARCH Volatility persistence	0.8343	46.01***
γ leverage Additional response to negative shocks	0.0227	0.87

V-Lab

US Dollar to Taiwanese Dollar AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Taiwanese Dollar Analyses