V-Lab: Japanese Yen Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Japanese Yen Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:4.97% (-0.08%)

Analysis last updated: Friday, April 19, 2024 at 07:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3465	9.37
$α$	0.0369	7.88
$β$	0.9526	165.03
$γ_{1}$	0.0001	0.19

Estimation Period:
Jan 2, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts