V-Lab: Japanese Yen EGARCH Volatility Analysis

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V-Lab

Japanese Yen EGARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:7.96% (+0.01%)

Analysis last updated: Thursday, June 1, 2023 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	-0.0042	-6.05
$α$	0.0927	35.62
$β$	0.9895	1859.96
$γ$	-0.0231	-11.01

Estimation Period:
Jan 2, 1990 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts