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

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V-Lab

Japanese Yen GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Monday, December 4th, 2023:8.99% (-0.26%)

Analysis last updated: Sunday, December 3, 2023 at 02:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5240	5.59
$α$	0.0274	90.09
$β$	0.9976	2457.20
$ν$	3	109.76

Estimation Period:
Jan 2, 1990 to Dec 1, 2023