V-Lab
Japanese Yen Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
8.18%
decreased by 0.08%
1 Week
8.22%
decreased by 0.04%
1 Month
8.34%
increased by 0.08%
Analysis last updated: Monday, September 7, 2026 at 07:06 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 4, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 33 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1869 | 6.09*** |
| αARCH | 0.0408 | 7.96*** |
| βGARCH | 0.9387 | 120.02*** |
Spline Coefficients
K=9
| γ1 | 0.0012 | 0.06 |
| γ2 | -0.0147 | -0.44 |
| γ3 | 0.0175 | 0.73 |
| γ4 | 0.0190 | 0.85 |
| γ5 | -0.0623 | -2.67*** |
| γ6 | 0.0723 | 3.36*** |
| γ7 | -0.0568 | -2.56** |
| γ8 | 0.0532 | 2.49** |
| γ9 | -0.0458 | -3.08*** |
0.979
Persistence33d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1869 | 6.09*** |
α ARCH Response to squared shocks | 0.0408 | 7.96*** |
β GARCH Volatility persistence | 0.9387 | 120.02*** |
Spline Coefficients
K=9
| γ1 | 0.0012 | 0.06 |
| γ2 | -0.0147 | -0.44 |
| γ3 | 0.0175 | 0.73 |
| γ4 | 0.0190 | 0.85 |
| γ5 | -0.0623 | -2.67*** |
| γ6 | 0.0723 | 3.36*** |
| γ7 | -0.0568 | -2.56** |
| γ8 | 0.0532 | 2.49** |
| γ9 | -0.0458 | -3.08*** |
Persistence:
0.979
Half-life:
33 days
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