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, February 5th, 2025:6.06% (-0.09%)

Analysis last updated: Tuesday, February 4, 2025 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4246	12.42
$α$	0.0392	8.18
$β$	0.9494	161.84
$γ_{1}$	0.0004	5.17

Estimation Period:
Jan 2, 1990 to Jan 31, 2025

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Volatility Forecasts

Volatility Forecasts