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 Friday, September 20th, 2024:11.07% (+0.45%)

Analysis last updated: Thursday, September 19, 2024 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4279	12.30
$α$	0.0392	8.12
$β$	0.9496	159.68
$γ_{1}$	0.0004	5.07

Estimation Period:
Jan 2, 1990 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts