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
ωlong-run	0.9241	1.96**
αscore	0.0503	24.17***
βpersistence	0.9982	1,212.87***
νDF	3.9143	17.81***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	0.9241	1.96**
α score Weight on the scaled score	0.0503	24.17***
β persistence Volatility persistence	0.9982	1,212.87***
ν DF Student-t tail thickness	3.9143	17.81***

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