V-Lab
Japanese Yen EGARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
8.46%
increased by 0.17%
1 Week
8.54%
increased by 0.25%
1 Month
8.86%
increased by 0.57%
Analysis last updated: Friday, September 18, 2026 at 08:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 68% more than equivalent positive returns.
σ
EGARCH Model
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Leverage: Negative returns increase volatility 68% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | -0.0073 | -2.31** |
| αARCH | 0.1022 | 9.60*** |
| βGARCH | 0.9864 | 375.90*** |
| γleverage | -0.0258 | -3.00*** |
0.986
Persistence51d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | -0.0073 | -2.31** |
α ARCH Response to squared shocks | 0.1022 | 9.60*** |
β GARCH Volatility persistence | 0.9864 | 375.90*** |
γ leverage Additional response to negative shocks | -0.0258 | -3.00*** |
Persistence:
0.986
Half-life:
51 days
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