V-Lab: Japanese Yen MF2-GARCH Volatility Analysis

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V-Lab

Japanese Yen MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, December 4th, 2023:1.68% (-12.72%)

Analysis last updated: Sunday, December 3, 2023 at 02:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	1.0000	9999900.00
$β$	0.0000	100.00
$γ$	0.0000	0.00
$λ_{1}$	0.0252	5.36
$λ_{2}$	0.9934	31.50
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 2, 1990 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts