V-Lab: Japanese Yen AGARCH Volatility Analysis

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V-Lab

Japanese Yen AGARCH Volatility Analysis

Volatility Prediction for Friday, December 1st, 2023:7.00% (-0.01%)

Analysis last updated: Thursday, November 30, 2023 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0013	11.34
$α$	0.0368	36.17
$β$	0.9571	844.78
$γ$	0.1196	9.12

Estimation Period:
Jan 2, 1990 to Nov 24, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts