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

V-Lab

Japanese Yen Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, July 2nd, 2025:7.32% (-0.15%)

Analysis last updated: Tuesday, July 1, 2025 at 07:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4208	12.29
$α$	0.0399	8.30
$β$	0.9488	162.15
$γ_{1}$	0.0004	5.08

Estimation Period:
Jan 2, 1990 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts