V-Lab: Japanese Yen GJR-GARCH Volatility Analysis

V-Lab

Japanese Yen GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, April 21st, 2025:12.76% (-0.27%)

Analysis last updated: Friday, April 18, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0020	18.74
$α$	0.0267	17.71
$β$	0.9551	825.46
$γ$	0.0226	7.84

Estimation Period:
Jan 2, 1990 to Apr 18, 2025

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Volatility Forecasts

Volatility Forecasts