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 Wednesday, April 24th, 2024:4.91% (-0.07%)

Analysis last updated: Tuesday, April 23, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4344	12.42
$α$	0.0366	7.85
$β$	0.9526	165.42
$γ_{1}$	0.0005	5.38

Estimation Period:
Jan 2, 1990 to Apr 19, 2024

News Impact Curve

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Volatility Forecasts

Volatility Forecasts