V-Lab: Japanese Yen GJR-GARCH Volatility Analysis

V-Lab

Japanese Yen GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, July 11th, 2025:7.56% (+0.12%)

Analysis last updated: Thursday, July 10, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0021	18.97
$α$	0.0267	17.68
$β$	0.9549	823.22
$γ$	0.0224	7.79

Estimation Period:
Jan 2, 1990 to Jul 4, 2025

News Impact Curve

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Volatility Forecasts

Volatility Forecasts