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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2634	6.61***
α ARCH Response to squared shocks	0.0412	7.78***
β GARCH Volatility persistence	0.9356	110.98***

γ₁	0.0116	0.57
γ₂	-0.0298	-0.93
γ₃	0.0229	1.01
γ₄	0.0214	1.01
γ₅	-0.0709	-3.24***
γ₆	0.0847	4.10***
γ₇	-0.0731	-3.29***
γ₈	0.0792	3.36***
γ₉	-0.1012	-2.76***

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Japanese Yen Spline-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Japanese Yen Analyses