V-Lab: Japanese Yen MF2-GARCH Volatility Analysis

V-Lab

Japanese Yen MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, September 1st, 2025:2.27% (-8.40%)

Analysis last updated: Friday, August 29, 2025 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.7197	7,197,260.00
$β$	0.0303	302,740.00
$γ$	0.5000	5,000,000.00
$λ_{1}$	0.0322	38.81
$λ_{2}$	0.9578	4,582.78
$λ_{3}$	0.0000	0.01

Estimation Period:
Jan 2, 1990 to Aug 29, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts