V-Lab: Japanese Yen Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Japanese Yen Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, June 19th, 2025:7.96% (-0.12%)

Analysis last updated: Wednesday, June 18, 2025 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4210	12.25
$α$	0.0399	8.30
$β$	0.9489	162.34
$γ_{1}$	0.0004	5.01

Estimation Period:
Jan 2, 1990 to Jun 13, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts