V-Lab: Japanese Yen Spline-GARCH Volatility Analysis

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V-Lab

Japanese Yen Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 5th, 2025:6.41% (-0.03%)

Analysis last updated: Thursday, December 4, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2574	6.61
$α$	0.0401	7.69
$β$	0.9373	115.21
$γ_{1}$	0.0122	0.57
$γ_{2}$	-0.0298	-0.89
$γ_{3}$	0.0191	0.81
$γ_{4}$	0.0299	1.32
$γ_{5}$	-0.0790	-3.34
$γ_{6}$	0.0874	3.50
$γ_{7}$	-0.0732	-2.56
$γ_{8}$	0.0785	2.78
$γ_{9}$	-0.0877	-2.22

Estimation Period:
Jan 2, 1990 to Nov 28, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts