V-Lab: Japanese Yen GAS-GARCH Student T Volatility Analysis

V-Lab

|

V-Lab

Japanese Yen GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:15.77% (-0.47%)

Analysis last updated: Sunday, January 29, 2023, 02:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5752	6.39
$α$	0.0269	89.16
$β$	0.9980	3417.67
$ν$	3	139.40

Estimation Period:
Jan 2, 1990 to Jan 28, 2023