V-Lab: Japanese Yen GJR-GARCH Volatility Analysis

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V-Lab

Japanese Yen GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:7.67% (-0.07%)

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
$ω$	0.0016	17.26
$α$	0.0245	16.98
$β$	0.9607	877.38
$γ$	0.0183	6.74

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

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Volatility Forecasts

Volatility Forecasts