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

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	1.0236	1.79*
αARCH	0.0377	26.61***
βGARCH	0.9981	1,039.64***
νDF	2.8218	42.59***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0236	1.79*
α ARCH Response to squared shocks	0.0377	26.61***
β GARCH Volatility persistence	0.9981	1,039.64***
ν DF Student-t tail thickness	2.8218	42.59***

V-Lab

US Dollar to South African Rand GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to South African Rand Analyses