Deutsche Bank FX Volatility Index

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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	1.5516	3.35***
αARCH	0.0543	4.33***
βGARCH	0.8785	33.94***

γ₁	0.0228	0.54
γ₂	-0.0024	-0.04
γ₃	-0.0452	-1.17
γ₄	0.1061	2.98***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5516	3.35***
α ARCH Response to squared shocks	0.0543	4.33***
β GARCH Volatility persistence	0.8785	33.94***

γ₁	0.0228	0.54
γ₂	-0.0024	-0.04
γ₃	-0.0452	-1.17
γ₄	0.1061	2.98***

V-Lab

US Dollar to Gold Troy Ounce Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Gold Troy Ounce Analyses