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

V-Lab

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V-Lab

Japanese Yen Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:8.43% (+0.56%)

Analysis last updated: Friday, December 20, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4240	12.31
$α$	0.0393	8.19
$β$	0.9495	162.26
$γ_{1}$	0.0004	5.11

Estimation Period:
Jan 2, 1990 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts