Japanese Yen GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
5.03%
decreased by 0.09%
1 Week
5.08%
decreased by 0.04%
1 Month
5.30%
increased by 0.18%
Analysis last updated: Monday, July 20, 2026 at 07:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 253 trading days (~1.0 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.72 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5136 | 4.94*** |
α ARCH Response to squared shocks | 0.0290 | 94.65*** |
β GARCH Volatility persistence | 0.9973 | 1,839.97*** |
ν DF Student-t tail thickness | 2.7153 | 95.26*** |
Persistence:
0.997
Half-life:
253 days
Other Japanese Yen Analyses
Other GAS-GARCH Student T Analyses on Currencies