V-Lab: Japanese Yen Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Japanese Yen Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:9.13% (+0.06%)

Analysis last updated: Friday, July 26, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3892	9.63
$α$	0.0381	7.93
$β$	0.9508	159.37
$γ_{1}$	0.0003	0.70

Estimation Period:
Jan 2, 1990 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts