V-Lab: Japanese Yen Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Japanese Yen Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:5.06% (-0.03%)

Analysis last updated: Thursday, April 18, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3489	9.38
$α$	0.0368	7.87
$β$	0.9526	165.16
$γ_{1}$	0.0001	0.23

Estimation Period:
Jan 2, 1990 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts