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{name} Model Equation

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Param	Value	t-stat
mwindow	21
αARCH	0.0183	1.95*
βGARCH	0.7995	23.66***
γleverage	0.0719	4.39***
λ₁tau intercept	0.0013	3.17***
λ₂forecast adj.	0.0278	4.74***
λ₃tau persistence	0.9673	143.04***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0183	1.95*
β GARCH Volatility persistence	0.7995	23.66***
γ leverage Additional response to negative shocks	0.0719	4.39***
λ₁ tau intercept Baseline long-term coefficient	0.0013	3.17***
λ₂ forecast adj. Forecast performance sensitivity	0.0278	4.74***
λ₃ tau persistence Long-term factor persistence	0.9673	143.04***

V-Lab

Japanese Yen MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Japanese Yen Analyses