V-Lab: Japanese Yen GJR-GARCH Volatility Analysis

V-Lab

Japanese Yen GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 1st, 2025:8.08% (+0.08%)

Analysis last updated: Monday, June 30, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0021	18.86
$α$	0.0266	17.67
$β$	0.9551	825.49
$γ$	0.0224	7.80

Estimation Period:
Jan 2, 1990 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts