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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0022	4.77***
αARCH	0.0273	4.54***
βGARCH	0.9542	203.51***
γleverage	0.0209	1.85*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0022	4.77***
α ARCH Response to squared shocks	0.0273	4.54***
β GARCH Volatility persistence	0.9542	203.51***
γ leverage Additional response to negative shocks	0.0209	1.85*

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Japanese Yen GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Japanese Yen Analyses