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

V-Lab

Japanese Yen Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 21st, 2025:11.70% (-0.27%)

Analysis last updated: Friday, April 18, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4243	12.19
$α$	0.0401	8.31
$β$	0.9487	161.79
$γ_{1}$	0.0004	4.99

Estimation Period:
Jan 2, 1990 to Apr 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts