V-Lab: Japanese Yen MF2-GARCH Volatility Analysis

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V-Lab

Japanese Yen MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:5.29% (-2.83%)

Analysis last updated: Thursday, June 1, 2023 at 07:12 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
$λ_{1}$	0.0247	5.71
$λ_{2}$	0.9961	38.45
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 2, 1990 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts