Bloomberg Asian Pacific Japanese Yen TR Index Value Unhedged JPY AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, July 17th, 2026
1 Day
6.70%
increased by 1.13%
1 Week
6.87%
increased by 1.30%
1 Month
7.64%
increased by 2.07%
Analysis last updated: Friday, July 17, 2026 at 11:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 17, 2019 to Apr 4, 2025Model Insight
Estimated persistence of 1.025 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0002 | 9.72*** |
α ARCH Response to squared shocks | 0.1854 | 23.16*** |
β GARCH Volatility persistence | 0.8392 | 152.23*** |
γ leverage Additional response to negative shocks | -0.0045 | -1.41 |
Persistence:
1.025
Half-life:
-
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