Japanese Yen MF2-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, May 13th, 2026
1 Day
7.27%
increased by 1.73%
1 Week
24.32%
increased by 18.78%
1 Month
9,772.79%
increased by 9,767.25%
Analysis last updated: Tuesday, May 12, 2026 at 07:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 31 | ||
| 0.7197 | 7,197,260.00 | |
| 0.0303 | 302,740.00 | |
| 0.5000 | 5,000,000.00 | |
| 0.4343 | 35.70 | |
| 0.9164 | 43.09 | |
| 0.0000 | 0.00 |
Estimation Period:
Jan 2, 1990 to May 8, 2026
Jan 2, 1990 to May 8, 2026
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