V-Lab: Japanese Yen MF2-GARCH Volatility Analysis

V-Lab

Japanese Yen MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:8.45% (-0.53%)

Analysis last updated: Friday, May 9, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.7500	7,499,900.00
$β$	0.0000	100.00
$γ$	0.5000	5,000,000.00
$λ_{1}$	0.0317	6.54
$λ_{2}$	0.9633	29.77
$λ_{3}$	0.0000	0.00

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts