V-Lab: Japanese Yen GJR-GARCH Volatility Analysis

V-Lab

Japanese Yen GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:10.63% (+0.22%)

Analysis last updated: Friday, May 9, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0020	18.73
$α$	0.0266	17.68
$β$	0.9552	826.27
$γ$	0.0224	7.82

Estimation Period:
Jan 2, 1990 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts