Japanese Yen Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
6.11%
decreased by 0.07%
1 Week
6.23%
increased by 0.05%
1 Month
6.62%
increased by 0.44%
Analysis last updated: Monday, October 19, 2026 at 07:11 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 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 35 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 | 1.2021 | 6.13*** |
| αARCH | 0.0411 | 8.08*** |
| βGARCH | 0.9393 | 122.96*** |
Spline Coefficients
K=9
| γ1 | 0.0007 | 0.03 |
| γ2 | -0.0131 | -0.38 |
| γ3 | 0.0161 | 0.66 |
| γ4 | 0.0191 | 0.84 |
| γ5 | -0.0618 | -2.60*** |
| γ6 | 0.0717 | 3.32*** |
| γ7 | -0.0554 | -2.52** |
| γ8 | 0.0504 | 2.36** |
| γ9 | -0.0431 | -2.85*** |
0.980
Persistence35d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2021 | 6.13*** |
α ARCH Response to squared shocks | 0.0411 | 8.08*** |
β GARCH Volatility persistence | 0.9393 | 122.96*** |
Spline Coefficients
K=9
| γ1 | 0.0007 | 0.03 |
| γ2 | -0.0131 | -0.38 |
| γ3 | 0.0161 | 0.66 |
| γ4 | 0.0191 | 0.84 |
| γ5 | -0.0618 | -2.60*** |
| γ6 | 0.0717 | 3.32*** |
| γ7 | -0.0554 | -2.52** |
| γ8 | 0.0504 | 2.36** |
| γ9 | -0.0431 | -2.85*** |
Persistence:
0.980
Half-life:
35 days
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