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
ωconst	0.0028	5.28***
αARCH	0.1348	4.78***
βGARCH	0.8385	45.68***
γleverage	-0.0036	-0.08

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0028	5.28***
α ARCH Response to squared shocks	0.1348	4.78***
β GARCH Volatility persistence	0.8385	45.68***
γ leverage Additional response to negative shocks	-0.0036	-0.08

V-Lab

US Dollar to Taiwanese Dollar GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Taiwanese Dollar Analyses